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Libor Market Models with time-varying (or stochastic) correlations?
Posted: October 25th, 2010, 3:43 pm
by pnrodriguez
Hi everyone,Is anyone aware of a paper that extends a Libor Market Model with time-varying correlations and vols?
Libor Market Models with time-varying (or stochastic) correlations?
Posted: October 25th, 2010, 10:12 pm
by quantmax
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 .
Libor Market Models with time-varying (or stochastic) correlations?
Posted: October 27th, 2010, 2:17 pm
by pnrodriguez
Hey Quantmax,Thanks for the links!So which are the current "models" to price and hedge complex interest rate derivatives?
Libor Market Models with time-varying (or stochastic) correlations?
Posted: November 1st, 2010, 1:24 pm
by pnrodriguez
Libor Market Models with time-varying (or stochastic) correlations?
Posted: November 2nd, 2010, 1:33 pm
by piterbarg
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
Libor Market Models with time-varying (or stochastic) correlations?
Posted: November 2nd, 2010, 2:02 pm
by pnrodriguez
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.