Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?
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Citations
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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.
- Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014.
"Nonlinear Kalman Filtering in Affine Term Structure Models,"
Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
- Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2012. "Nonlinear Kalman Filtering in Affine Term Structure Models," CREATES Research Papers 2012-49, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Cahiers de recherche 1404, CIRPEE.
- Konstantinidi, Eirini & Skiadopoulos, George, 2011.
"Are VIX futures prices predictable? An empirical investigation,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560, April.
- Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560.
- Christopher Gust & Edward Herbst & David López-Salido & Matthew E. Smith, 2017.
"The Empirical Implications of the Interest-Rate Lower Bound,"
American Economic Review, American Economic Association, vol. 107(7), pages 1971-2006, July.
- Christopher J. Gust & Edward P. Herbst & J. David López-Salido & Matthew E. Smith, 2012. "The Empirical Implications of the Interest-Rate Lower Bound," Finance and Economics Discussion Series 2012-83, Board of Governors of the Federal Reserve System (U.S.).
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- Szu, Wen-Ming & Wang, Ming-Chun & Yang, Wan-Ru, 2011. "The determinants of exchange settlement practices and the implication of volatility smile: Evidence from the Taiwan Futures Exchange," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 826-838, October.
- Anders B. Trolle & Eduardo S. Schwartz, 2009. "A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 2007-2057, May.
- Christopher J. Gust & Edward P. Herbst & J. David López-Salido & Matthew E. Smith, 2012.
"The Empirical Implications of the Interest-Rate Lower Bound,"
Finance and Economics Discussion Series
2012-83, Board of Governors of the Federal Reserve System (U.S.).
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More about this item
Keywords
LIBOR market models; volatility smile; interest rate caps;All these keywords.
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
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