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Libor model with expiry-wise stochastic volatility and displacement
displaced Libor models stochastic volatility calibration to capstrike maturity matrix swaption pricing
2012/4/28
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of...
Old and new approaches to LIBOR modeling
LIBOR rate LIBOR market model forward price model Markov-functional model affine LIBOR model
2010/11/2
In this article, we review the construction and properties of some popular approaches to modeling LIBOR rates. We discuss the fol-lowing frameworks: classical LIBOR market models, forward price mod-el...