Hi everyone,Is anyone aware of a paper that extends a Libor Market Model with time-varying correlations and vols?

QuoteOriginally posted by: pnrodriguezHi everyone,Is anyone aware of a paper that extends a Libor Market Model with time-varying correlations and vols?There you go:http://fengzhao.rutgers.edu/smiles_JF_0 ... 6.htmlMany such papers exist by the way...as they say: google them. Speaking of which in all honesty i've read only the second link of the 2 above and perhaps have read something on the topic in the past but can't recall it, given that i have a whole folder named "libor" on my laptop with like 20 academic papers explicitly about this damn rate. And...libor these days is just virtually nonexisting (felt obliged to mention that .

Hey Quantmax,Thanks for the links!So which are the current "models" to price and hedge complex interest rate derivatives?

I found this, in case anyone is interested....http://www.cirano.qc.ca/pdf/publication/2010s-23.pdf

QuoteOriginally posted by: pnrodriguezHi everyone,Is anyone aware of a paper that extends a Libor Market Model with time-varying correlations and vols?A free chapter of our book on LMM is available hereVladimir

QuoteOriginally posted by: piterbargQuoteOriginally posted by: pnrodriguezHi everyone,Is anyone aware of a paper that extends a Libor Market Model with time-varying correlations and vols?A free chapter of our book on LMM is available hereVladimirI just got V1 and 2. Looking forward to reading them.