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Efficient Calibration for Libor Market Models

LMM Calibrator Estimation of volatility and correlation parameters in
the sense of (Brigo and Mercurio 2001), (Brigo and Morini 2004) and
(Brigo, Mercurio, and Morini 2005)

  1. Estimate volatilities from Caps/Floors
  2. Rescale volatilities to the needed Libor maturity
  3. Extract correlation parameters from swaption volatilities

Alternative strategies and implementation issues, Thomas Weber, .

See also Interest rate modelling, Brigo, Mercurio, Pelsser.

Posted by on August 21, 2005 11:02 PM |

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