Publication:
LIBOR additive model calibration to swaptions markets

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorColino, Jesús P.
dc.contributor.authorNogales, Francisco J.
dc.contributor.authorStute, Winfried
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2008-11-06T09:14:13Z
dc.date.available2008-11-06T09:14:13Z
dc.date.issued2008-11
dc.description.abstractIn the current paper, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes based in an inverse problem. This problem can be splitted in the calibration of the continuous and discontinuous part, linking each part of the problem with at-the-money and in/out -of -the-money swaption volatilies. The continuous part is based on a semidefinite programming (convex) problem, with constraints in terms of variability or robustness, and the calibration of the Lévy measure is proposed to calibrate inverting the Fourier Transform.
dc.format.mimetypeapplication/pdf
dc.identifier.repecws085619
dc.identifier.urihttps://hdl.handle.net/10016/3118
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries08-19
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherLévy Market model
dc.subject.otherCalibration
dc.subject.otherSemidefinite programming
dc.titleLIBOR additive model calibration to swaptions markets
dc.typeworking paper*
dspace.entity.typePublication
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