The Co-Initial Swap Market Model
18 Pages Posted: 15 Apr 2005
Date Written: December 26, 2003
Abstract
In this paper, we introduce a new approach to the pricing and the risk-management of generic European-style interest rate derivatives. This approach has great flexibility and has the advantage of avoiding complex model calibration techniques typical of standard short-rate models. Dynamics are assigned on a set of co-initial forward swap rates and arbitrage-free restrictions are determined in a normal and lognormal setup. Model implementation and calibration are discussed and details of two example applications are also presented.
See published version of this paper located at: http://ssrn.com/abstract=595077.
Keywords: Swap market models, model calibration
JEL Classification: G12, G13
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Theory and Calibration of Swap Market Models
By Stefano Galluccio, O. Scaillet, ...
-
Monte Carlo Market Greeks in the Displaced Diffusion LIBOR Market Model
By Mark S. Joshi and Oh Kang Kwon
-
Effective Implementation of Generic Market Models
By Mark S. Joshi and Lorenzo Liesch
-
By Nick Denson and Mark S. Joshi
-
Fast and Accurate Greeks for the Libor Market Model
By Nick Denson and Mark S. Joshi
-
Fast Delta Computations in the Swap-Rate Market Model
By Mark S. Joshi and Chao Yang
-
Efficient Greek Estimation in Generic Market Models
By Mark S. Joshi and Chao Yang