The LIBOR model dynamics: Approximations, calibration and diagnostics

The LIBOR model dynamics: Approximations, calibration and diagnostics

Brigo, Damiano, (2005)

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 ...

Mercurio, Fabio, (2009)

A Note on Hedging with Local and Stochastic Volatility Models

Mercurio, Fabio, (2016)