Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options

DOI10.1080/13504860903541317zbMath1201.91191OpenAlexW2063427353MaRDI QIDQ3063876

Jan van Heys, Reik H. Börger

Publication date: 15 December 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903541317

zbMATH Keywords

correlationcalibrationLMMCMS spread optionmarket analysis

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• LIBOR and swap market models and measures
• On the distributional distance between the lognormal LIBOR and swap market models
• The Market Model of Interest Rate Dynamics
• Robust Libor Modelling and Pricing of Derivative Products
• The Numerical Evaluation of Certain Multivariate Normal Integrals
• Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
• Interest rate models -- theory and practice

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