A time-homogeneous, SABR-consistent extension of the LMM

The stochastic, alpha, beta, rho (SABR) model and the Libor market model (LMM) have become industry standards for pricing plain-vanilla and complex interest rate products, respectively. (For a description of the SABR model, see, for example, Hagan et al, 2002. The LMM is described, for example, in Brace, Gatarek & Musiela (BGM), 1996 and Jamshidian, 1997.) While similar, the two models do not directly 'talk to each other'. Ultimately, the SABR approach is not a consistent dynamical model for a

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here