evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and Swaption prices
Read Online
Share

evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and Swaption prices

  • 681 Want to read
  • ·
  • 89 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

Subjects:

  • Swaps (Finance) -- Prices.

Book details:

Edition Notes

StatementRavi Jagannathan, Andrew Kaplin, Steve Guoqiang Sun.
SeriesNBER working paper series -- no. 8682, Working paper series (National Bureau of Economic Research) -- working paper no. 8682.
ContributionsKaplin, Andrew., Sun, Steve Guoqiang., National Bureau of Economic Research.
The Physical Object
Pagination[42] p. :
Number of Pages42
ID Numbers
Open LibraryOL22430524M

Download evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and Swaption prices

PDF EPUB FB2 MOBI RTF

An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices () ) (CIR) model using data on London Interbank Offer Rate (LIBOR), swap rates and caps and swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The economic importance of Cited by: title = "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices", abstract = "We evaluate the classical Cox et al. (Econometrica 53(2) () ) (CIR) model using data on London Interbank Offer Rate (LIBOR), swap rates and Cited by: An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices Article in Journal of Econometrics () January with 18 Reads How we measure 'reads'. Download Citation | An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices | We evaluate the classical Cox et al. (Econometrica 53(2) () ) (CIR) model.

BibTeX @MISC{Jagannathan01anevaluation, author = {Ravi Jagannathan and Andrew Kaplin and Steve Guoqiang Sun}, title = { An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices}, year = {}}. An evaluation of multifactor CIR models using libor, swap rates, and cap and swaption prices, () by Ravi Jagannathan, Andrew Kaplin, Steve Guoqiang Sun Add To MetaCart. LIBOR and swap market models and measures explicit recursive equation for the term structure of forward LIBOR rates with a lognormal (i.e., deterministic percentage) volatility. In particular, it followed that prices of all LIBOR derivatives depended only on the finite number of discount factors that define the LIBOR by: Current Treasuries and Swap Rates. U.S. Treasury yields and swap rates, including the benchmark 10 year U.S. Treasury Bond, different tenors of the USD London Interbank Offered Rate (LIBOR), the Secured Overnight Financing Rate (SOFR), the Fed Funds Effective Rate, Prime and SIFMA.

An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices Ravi Jagannathan, Andrew Kaplin and Steve Guoqiang Sun NBER Working Paper No. December JEL No. C13, C32, C51, E43, G12 ABSTRACT We evaluate the classical Cox, Ingersoll and Ross () (CIR) model using data on LIBOR, swap rates and caps and. Get this from a library! An evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and Swaption prices. [Ravi Jagannathan; Andrew Kaplin; Steve Guoqiang Sun; National Bureau of Economic Research.] -- Abstract: We evaluate the classical Cox, Ingersoll and Ross () (CIR) model using data on LIBOR, swap rates and caps and swaptions. Get this from a library! An evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and Swaption prices. [Ravi Jagannathan; Andrew Kaplin; Steve Guoqiang Sun; National Bureau of Economic Research.]. We show a particular case of joint calibration of the Libor Market Model (LMM) to market-quoted implied cap and swaption volatilities using a linear-exponential parameterization. We also create a Monte Carlo vanilla swaption-pricing engine using the model in the first part of the : Natalia Bandera.