Showing 1 - 10 of 37
Persistent link: https://www.econbiz.de/10000981246
Persistent link: https://www.econbiz.de/10000649190
Persistent link: https://www.econbiz.de/10011778017
Persistent link: https://www.econbiz.de/10011778187
Persistent link: https://www.econbiz.de/10001732826
Persistent link: https://www.econbiz.de/10001672236
Persistent link: https://www.econbiz.de/10012502563
Persistent link: https://www.econbiz.de/10011344803
The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a diagnostic tool for analysing the quantiles of...
Persistent link: https://www.econbiz.de/10014233216
This paper presents a method for calibrating a multicurrency lognormal LIBOR Market Model to market data of at-the-money caps, swaptions and FX options. By exploiting the fact that multivariate normal distributions are invariant under orthonormal transformations, the calibration problem is...
Persistent link: https://www.econbiz.de/10013131311