CUTTING EDGE - Interest rates - Joining the SABR and Libor models together - The authors propose a Libor market model consistent with SABR dynamics and develop approximations that allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply good fitting of market data and produce regular Libor rate parameters. They finally show that ...
| Year of publication: |
2009
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|---|---|
| Authors: | Mercurio, Fabio ; Morini, Massimo |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 3, p. 80-85
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