This paper presents a methodf or calibrating a multi currency lognormal LIBOR Market Model to market data of at-the-money caps, swaptions and FX options. By exploiting the fact that multivariate normal distributions are invariant under orthonormal transformations, the calibration problem is...

""I recommend Erik Schlogl's new book to all those interested in model implementation. From quasi-random sequences to HJM to the Excel interface, with full C++ code, there is something here for everyone.""-Jim Gatheral, Presidential Professor, Baruch College, CUNY""If 25 years ago I had started...