Jong, Frank de; Driessen, Joost; Pelsser, Antoon - In: Review of Derivatives Research 7 (2004) 2, pp. 99-127
We examine whether the information in cap and swaption prices is consistent with realized movements of the interest rate term structure. To extract an option-implied interest rate covariance matrix from cap and swaption prices, we use Libor market models as a modelling framework. We propose a...
