The topic of this master thesis is the study of a LIBOR forward swap model with stochastic volatility and its … calibration based on the market European swaption implied volatility surface. The first part of the thesis will briefly review the … most common short rate models; it will introduce the Heath-Jarrow-Morton framework and it will describe the LIBOR swap …

In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We …

-Free Rate index to the LIBOR swap rate that can be used contractually to value derivative instruments, such as vanilla European … of fixings for LIBOR interest rate swaps in terms of the relevant swap rates that reference the Risk-Free Rate that will … replace a particular LIBOR post its cessation. The nonlinear mappings proposed from the swap rate that references the Risk …