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Erschienen in:
2001 | OriginalPaper | Buchkapitel
Cases of Calibration of the LIBOR Market Model
verfasst von : Damiano Brigo, Fabio Mercurio
Erschienen in: Interest Rate Models Theory and Practice
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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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.