Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?
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Cited by:
- Eymen Errais & Fabio Mercurio, 2005. "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005 192, Society for Computational Economics.
- Matheus R Grasselli & Tsunehiro Tsujimoto, 2011. "Calibration of Chaotic Models for Interest Rates," Papers 1106.2478, arXiv.org.
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"Nonlinear Kalman Filtering in Affine Term Structure Models,"
Management Science,
INFORMS, vol. 60(9), pages 2248-2268, September.
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"Are VIX futures prices predictable? An empirical investigation,"
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More about this item
Keywords
LIBOR market models; volatility smile; interest rate caps;JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2004-12-02 (All new papers)
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