Gan, Junwu - In: Quantitative Finance 14 (2014) 11, pp. 1937-1959
A new variant of the LIBOR market model is implemented and calibrated simultaneously to both at-the-money and out-of-the-money caps and swaptions. This model is a two-factor version of a new class of the almost Markovian LIBOR market models with properties long sought after: (i) the almost...