Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model

DOI10.1142/S0219024903002055zbMath1079.91041MaRDI QIDQ5696866

Brian Coffey, John G. M. Schoenmakers

Publication date: 19 October 2005

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

zbMATH Keywords

calibrationcorrelation structuresLIBOR models

Mathematics Subject Classification ID

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

Related Items (10)

THEORY AND CALIBRATION OF SWAP MARKET MODELS ⋮ EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL ⋮ Accurate and fast computations with positive extended Schoenmakers-Coffey matrices ⋮ Accurate and fast computations with Green matrices ⋮ Some results on correlation matrices for interest rates ⋮ Pricing inflation-indexed derivatives ⋮ Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options ⋮ Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications ⋮ Exploring the total positivity of yields correlations ⋮ MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS

Cites Work

• Unnamed Item
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• LIBOR and swap market models and measures
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• The Numerical Evaluation of Certain Multivariate Normal Integrals
• WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?
• Yield curve estimation by kernel smoothing methods

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