Calibration of the LIBOR market model - implementation in PREMIA

Nicolas PRIVAULT; Xiao WEI

Calibration of the LIBOR market model - implementation in PREMIA

Nicolas PRIVAULT, Xiao WEI

Department of Mathematics

Research output: Journal Publications and Reviews › RGC 22 - Publication in policy or professional journal

Abstract

This paper reviews the BGM model for the parameterization of LIBORforward interest rate curves, and presents a C++ implementation in PREMIAof the calibration algorithm of [7] using the market prices of caps and swaptions in this model.

Original language	English
Pages (from-to)	20 - 28
Journal	Banque et Marches
Volume	99
Publication status	Published - Mar 2009

Research Keywords

LIBOR market model
BGM model
interest rates
caps
swaps, calibration

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title = "Calibration of the LIBOR market model - implementation in PREMIA",

abstract = "This paper reviews the BGM model for the parameterization of LIBORforward interest rate curves, and presents a C++ implementation in PREMIAof the calibration algorithm of [7] using the market prices of caps and swaptions in this model.",

keywords = "LIBOR market model, BGM model, interest rates, caps, swaps, calibration",

author = "Nicolas PRIVAULT and Xiao WEI",

year = "2009",

month = mar,

language = "English",

volume = "99",

pages = "20 -- 28",

journal = "Banque et Marches",

issn = "1167-4946",

publisher = "La Revue Banque",

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T1 - Calibration of the LIBOR market model - implementation in PREMIA

AU - PRIVAULT, Nicolas

AU - WEI, Xiao

PY - 2009/3

Y1 - 2009/3

N2 - This paper reviews the BGM model for the parameterization of LIBORforward interest rate curves, and presents a C++ implementation in PREMIAof the calibration algorithm of [7] using the market prices of caps and swaptions in this model.

AB - This paper reviews the BGM model for the parameterization of LIBORforward interest rate curves, and presents a C++ implementation in PREMIAof the calibration algorithm of [7] using the market prices of caps and swaptions in this model.

KW - LIBOR market model

KW - BGM model

KW - interest rates

KW - caps

KW - swaps, calibration

M3 - RGC 22 - Publication in policy or professional journal

SN - 1167-4946

VL - 99

SP - 20

EP - 28

JO - Banque et Marches

JF - Banque et Marches

ER -

Calibration of the LIBOR market model - implementation in PREMIA

Abstract

Research Keywords

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