Titlebook: Calibration and Parameterization Methods for the Libor Market Model; Christoph Hackl Book 2014 Springer Fachmedien Wiesbaden 2014 Forward

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Karin Egberts,Angelika Gensthaler Rebonato‘s popular linear exponential parametric function, see Brigo and Mercurio [2006]. To calibrate the LMM directly to market data, the volatility curve has to be "bootstraped", as ..(.) is modeled and therefore each caplet on its own.

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EntwicklungspsychopharmakologieThe first Figure 5.1 shows the market cap volatility structure with the characteristic hump at the beginning where cubic spline interpolation has been used between the market volatility points. The dashed line is the stripped caplet volatility which is used to calibrate the libor market model for pricing caps.

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Applications and Results,The first Figure 5.1 shows the market cap volatility structure with the characteristic hump at the beginning where cubic spline interpolation has been used between the market volatility points. The dashed line is the stripped caplet volatility which is used to calibrate the libor market model for pricing caps.

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Calibration and Parameterization Methods for the Libor Market Model

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Foundations of Mathematical Finance and Stochastic Calculus,ction we start with simple interest rate necessities and go on to financial Derivatives which are necessary to understand to correctly calibrate and use the model for pricing. The section 2.2 starts with the most important aspects in stochastic calculus which is the key step to understand and work w