An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
نویسندگان
چکیده
منابع مشابه
Cap and swaption approximations in Libor market models with jumps
URL: www.thejournalofcomputationalfinance.com This paper develops formulas for pricing caps and swaptions in Libor market models with jumps. The arbitrage-free dynamics of this class of models were characterized in Glasserman and Kou (2003) in a framework allowing for very general jump processes. For computational purposes, it is convenient to model jump times as Poisson processes; however, the...
متن کاملModels of Forward LIBOR and Swap Rates
The backward induction approach is systematically used to produce various models of forward market rates. These include the lognormal model of forward LIBOR rates examined in Miltersen et al. (1997) and Brace et al. (1997), as well as the lognormal model of ((xed-maturity) forward swap rates proposed by Jamshidian (1996, 1997). The valuation formulae for European caps and swaptions are given. I...
متن کاملLIBOR and swap market models and measures
A self-contained theory is presented for pricing and hedging LIBOR and swap derivatives by arbitrage. Appropriate payoff homogeneity and measurability conditions are identified which guarantee that a given payoff can be attained by a self-financing trading strategy. LIBOR and swap derivatives satisfy this condition, implying they can be priced and hedged with a finite number of zero-coupon bond...
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One of the principal disadvantages of short rate models, and HJM models more generally, is that they focus on unobservable instantaneous interest rates. The so-called market models that were developed in the late 90’s overcome this problem by directly modelling observable market rates such as LIBOR and swap rates. These models are straightforward to calibrate and have quickly gained widespread ...
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شناسایی مخاطرات در واحد 400 پالایشگاه گاز پارسیان. در این پروزه با بکارگیری از تکنیک hazop به شناسا یی مخاطرات ، انحرافات ممکن و در صورت لزوم ارایه راهکارهای مناسب جهت افزایش ایمنی فرا یند پرداخته میگردد. شرایط عملیاتی مخاطره آمیز نظیر فشار و دمای بالا و وجود ترکیبات مختلف سمی و قابل انفجار در واحدهای پالایش گاز، ضرورت توجه به موارد ایمنی در این چنین واحدهایی را مشخص می سازد. مطالعه hazop یک ر...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2003
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(03)00105-2