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

DOI10.1142/S0219024920500466zbMath1470.91297OpenAlexW3084998786MaRDI QIDQ5854313

Thomas Andrew McWalter, Jacques van Appel

Publication date: 16 March 2021

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

Full work available at URL: https://doi.org/10.1142/s0219024920500466

zbMATH Keywords

moment approximationdisplaced lognormal forward-LIBOR modelswaption volatility

Mathematics Subject Classification ID

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

Uses Software

• TOMS659
• sobol.cc

Cites Work

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• EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL
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• Randomization of Quasi-Monte Carlo Methods for Error Estimation: Survey and Normal Approximation *
• Remark on algorithm 659
• Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model

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