Combining the SABR and LMM models
I
The BGM model is a special version of the Libor market model (LMM), in which all forward rates are lognormal. While the LMM is a very flexible framework as it enables us to specify an individual dynamics for each Libor, the calibration of swaption smiles is difficult as, even in the simple case of lognormal forward rates, swaption prices are not known analytically and straight Monte Carlo calibration is too time-consuming.
In such a model, the instantaneous variance of a swap rate is a weighted
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Interest rate derivatives
Derivatives
Inside Wells Fargo’s bid to take on big FX players
The third-largest US bank by assets plans to use big corporate flows to lure institutional clients
Receive this by email