Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions

DOI10.1080/14697688.2010.535839zbMath1214.91116OpenAlexW3124804117MaRDI QIDQ3005816

Mark S. Joshi, Ferdinando M. Ametrano

Publication date: 9 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.535839

zbMATH Keywords

computational financeinterest rate derivativesLIBOR market modelsAmerican style derivative securitiescalibration of deterministic volatility

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation

Cites Work

• Constructing Sobol Sequences with Better Two-Dimensional Projections
• On the information in the interest rate term structure and option prices
• Generic market models
• LIBOR and swap market models and measures
• THEORY AND CALIBRATION OF SWAP MARKET MODELS
• The Market Model of Interest Rate Dynamics
• Monte Carlo valuation of American options
• A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
• Effective Implementation of Generic Market Models

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