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The Sabr/Libor Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
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Visit Seller's Storefront Terms of Sale: All books are shipped in New condition promptly, we are happy to accept returns up to 30 days from purchase. However, other approaches for example, simulated annealing may also be appropriate. Calibrate the set of parameters that minimize the difference between the observed and predicted values using swaptionbylg2f and lsqnonlin.
The SABR/LIBOR Market Model
Before beginning this example that uses a LiborMarketModel , make sure that you have set up the data as described in:. Specifically, the lognormal LMM specifies the following diffusion equation for each forward rate. The LMM relates the drifts of the forward rates based on no-arbitrage arguments. The choice with the LMM is how to model volatility and correlation and how to estimate the parameters of these models for volatility and correlation. In practice, you may use a combination of historical data for example, observed correlation between forward rates and current market data.
For this example, only swaption data is used.
Further, many different parameterizations of the volatility and correlation exist. How to Predict the Unpredictable. Author John Brooks.
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Sabr Libor Market Model Pricing Calibration And Hedging For Complex Interest Rate Derivatives
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No Matter What. Featured channels Calibrate the set of parameters that minimize the difference between the observed and predicted values using swaptionbylg2f and lsqnonlin.
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