A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL

DOI10.1142/S0219024904002591zbMath1127.91333MaRDI QIDQ4653037

Riccardo Rebonato, Dherminder Kainth

Publication date: 28 February 2005

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

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (7)

Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Perturbation analysis of the Euclidean distance matrix optimization problem and its numerical implications ⋮ Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations ⋮ Conditional quadratic semidefinite programming: examples and methods ⋮ A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation ⋮ FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH ⋮ Displaced Diffusion as an Approximation of the Constant Elasticity of Variance

Cites Work

• A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
• Volatility skews and extensions of the Libor market model
• WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?

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