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Optimal calibration of LIBOR market models to correlations

Weigel, Peter - In: The journal of derivatives : the official publication … 12 (2004) 2, pp. 43-50

Persistent link: https://www.econbiz.de/10002535971

Optimal allocation of simulation paths in the primal-dual algorithm

Shin Jensen, Malene (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002551370

An evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and swaption prices

Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve Guoqiang - 2001

Persistent link: https://www.econbiz.de/10001637620

An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices

Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve - In: Journal of econometrics 116 (2003) 1/2, pp. 113-146

Persistent link: https://www.econbiz.de/10001772145

An Evaluation of Multi-Factor Cir Models Using Libor, Swap Rates, and Cap and Swaption Prices

Kaplin, Andrew - 2010

We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and … swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The model is … able to match the hump shaped unconditional term structure of volatility in the LIBOR-swap market. However, statistical …

Persistent link: https://www.econbiz.de/10012763074