远地点
发表于 2025-3-23 11:16:47
Cases of Calibration of the LIBOR Market Modelata. We study several cases based on different instantaneous-volatility parameterizations. We will also point out a particular parameterization allowing for a closed-form-formulas calibration to swaption volatilities and establishing a one to one correspondence between swaption volatilities and LFM covariance parameters.
MILK
发表于 2025-3-23 14:57:16
Monte Carlo Tests for LFM Analytical Approximationse Libor market model (LFM), by resorting to Monte Carlo simulation of the LFM dynamics. We aim at establishing whether the approximations based on drift freezing and approximating lognormal distributions are accurate. We adopt two different contexts.
拍下盗公款
发表于 2025-3-23 20:07:54
Local-Volatility Modelsderlying asset, Dupire (1994, 1997) has derived a candidate LVM that is compatible with the given implied-volatility surface. Balland and Hughston (2000) and Brigo and Mercurio (2003), see Section 10.13, have addressed a similar issue in the interest-rate case, where a single caplet maturity is available for each market forward rate.
长处
发表于 2025-3-23 22:15:52
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流逝
发表于 2025-3-24 03:05:02
Interest Rate Models - Theory and Practice978-3-540-34604-3Series ISSN 1616-0533 Series E-ISSN 2195-0687
高歌
发表于 2025-3-24 09:26:20
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伦理学
发表于 2025-3-24 13:47:52
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无辜
发表于 2025-3-24 15:36:24
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破译
发表于 2025-3-24 19:54:01
Including the Smile in the LFMWe have seen in previous chapters that Black’s formula for caplets is the standard in the cap market. This formula is consistent with the LFM, in that it comes as the expected value of the discounted caplet payoff under the related forward measure when the forward-rate dynamics is given by the LFM.
CHIDE
发表于 2025-3-25 00:00:34
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