EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL

DOI10.1142/S0219024918500206zbMath1395.91476OpenAlexW2896056198MaRDI QIDQ4571699

Jacques van Appel, Thomas Andrew McWalter

Publication date: 29 June 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500206

zbMATH Keywords

swaptionLIBOR modelefficient calibrationvolatility approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS

Uses Software

• TOMS659
• sobol.cc

Cites Work

• Constructing Sobol Sequences with Better Two-Dimensional Projections
• Interest rate models -- theory and practice. With smile, inflation and credit
• Term-structure models. A graduate course
• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• On the distributional distance between the lognormal LIBOR and swap market models
• SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
• The Market Model of Interest Rate Dynamics
• A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
• Volatility skews and extensions of the Libor market model
• Remark on algorithm 659
• Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
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