This work discusses the calibration of instantaneous Libor correlations in the Libor market model. We extend existing … gives a satisfactory fit to the market. We conclude our investigation with a pricing of a callable swap on cms spread using …

The Libor Market Model (LMM) describes the evolution of a yield curve through equations for a discrete set of forward …

Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA …, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and … the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We …

Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA …, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and … the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We …

CME will soon be proposing a new product: Deliverable Interest Rate Swap Futures. This note describes the product and …

This paper presents an extensive test of the Libor Market on the Euro Cap and Swaption market. The deterministic LIBOR … performance show that the deterministic LIBOR market model is more effective in hedging in- and at-the money OTC caps and … swaptions. The simple extended LIBOR market model under the displaced diffusion dynamics is sufficient to model the Euro caplet …