Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach
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Cited by:
- Marc Henrard, 2005. "Libor Market Model and Gaussian HJM explicit approaches to option on composition," Finance 0511016, University Library of Munich, Germany, revised 07 Dec 2005.
- N. Moreni & A. Pallavicini, 2014.
"Parsimonious HJM modelling for multiple yield curve dynamics,"
Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 199-210, February.
- Nicola Moreni & Andrea Pallavicini, 2010. "Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics," Papers 1011.0828, arXiv.org.
- Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
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More about this item
Keywords
Libor Models; Volatility Skew; Interest Rate Derivatives;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2005-11-19 (Econometric Time Series)
- NEP-FIN-2005-11-19 (Finance)
- NEP-FMK-2005-11-19 (Financial Markets)
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