Alexander, Carol; Lvov, Dimitri - Henley Business School, University of Reading - 2003
historical forward rates are used to calibrate the lognormal forward rate model - as advocated by Hull and White (1999 …), which has been applied to the lognormal forward rate model by Alexander (2003). We conclude that, if historical data are … used to calibrate the lognormal forward rate model, it is best to use Svensson forward rate correlation matrices. However …