TANIMURA, HIDETOSHI; YAMADA, YUJI - In: International Journal of Theoretical and Applied … 09 (2006) 07, pp. 1123-1139
practical estimation for the implied correlation matrix in the LMM. The empirical analysis also illustrates that Black …'s swaption volatilities through our calibration fit the market data almost exactly and that the estimated implied correlation … matrix is smooth and stable. …