Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
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DOI: 10.1142/S0219024903002055
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Cited by:
- Jacques Van Appel & Thomas A. Mcwalter, 2018. "Efficient Long-Dated Swaption Volatility Approximation In The Forward-Libor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-26, June.
- Packham, Natalie & Woebbeking, Fabian, 2021. "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers 2021-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
- Reik Borger & Jan van Heys, 2010. "Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(5), pages 453-469.
- Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
- A. Goia & E. Salinelli, 2016. "Exploring the total positivity of yields correlations," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 605-624, April.
- Rebonato, Riccardo & Ronzani, Riccardo, 2021. "Is convexity efficiently priced? Evidence from international swap markets," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 392-413.
- Thomas A. McWalter & Erik Schlögl & Jacques van Appel, 2023. "Analysing Quantiles in Models of Forward Term Rates," Risks, MDPI, vol. 11(2), pages 1-18, January.
- Matheus R Grasselli & Tsunehiro Tsujimoto, 2011. "Calibration of Chaotic Models for Interest Rates," Papers 1106.2478, arXiv.org.
- Packham, N. & Woebbeking, C.F., 2019. "A factor-model approach for correlation scenarios and correlation stress testing," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 92-103.
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Keywords
LIBOR models; correlation structures; calibration;All these keywords.
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