Abstract
In this chapter we present some numerical examples concerning the goodness of fit of the LFM to both the caps and swaptions markets, based on market data. We study several cases based on different instantaneous-volatility parameterizations. We will also point out a particular parameterization allowing for a closed-form-formulas calibration to swaption volatilities and establishing a one to one correspondence between swaption volatilities and LFM covariance parameters.
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© 2006 Springer-Verlag Berlin Heidelberg
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(2006). Cases of Calibration of the LIBOR Market Model. In: Interest Rate Models — Theory and Practice. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-34604-3_7
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DOI: https://doi.org/10.1007/978-3-540-34604-3_7
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-22149-4
Online ISBN: 978-3-540-34604-3
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