Last edited by Mirg
Sunday, July 19, 2020 | History

2 edition of evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and Swaption prices found in the catalog.

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

Ravi Jagannathan

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

by Ravi Jagannathan

  • 46 Want to read
  • 7 Currently reading

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

    Subjects:
  • Swaps (Finance) -- Prices.

  • 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

    An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices by Ravi Jagannathan, Andrew Kaplin, Steve Guoqiang Sun, Abstract - Cited by 27 (0 self) - Add to MetaCart. The prices of the bonds and interest rate derivatives have a simple analytical expression in Vasicek model. and S. Sun, “An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices,” Journal and F. Wen, “An LMI approach for dynamics of switched cellular neural networks with mixed delays Cited by: 1.

    Find Current LIBOR Swaps and Today's Key Rates at Mortgage EquiCap, the value-enhanced commercial mortgage broker. An Evaluation of Multi-Factor Cir Models Using Libor, Swap Rates, and Cap and Swaption Prices NBER Working Paper No. w Number of pages: 44 Posted: 20 Dec Last Revised: 25 Oct

    It also allows the LIBOR market model to be calibrated to broker quotes on caps and European swap options so that other interest rate derivatives can be valued. Suggested Citation: Suggested Citation Hull, John C. and White, Alan, Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the Libor Market Model ().Cited by: An analytical solution for interest rate swap spreads. UCLA Working Paper () by M Grinblatt Add To MetaCart. Tools. Sorted by We begin by overviewing the dynamic term structure models that have been fit to treasury or swap yield curves and in which the risk factors follow diffusions, jump-diffusion, or have “switching regimes.


Share this book
You might also like
Ancient China

Ancient China

Jurgen

Jurgen

Studies on the germs cell of aphids.

Studies on the germs cell of aphids.

Cardinal Newman

Cardinal Newman

Ethics of environment and development

Ethics of environment and development

Diva Qs barbecue

Diva Qs barbecue

Eggs and poultry price spreads, 1976-80

Eggs and poultry price spreads, 1976-80

Trade Preferences for Haiti

Trade Preferences for Haiti

Radioisotopes, the wonder tool

Radioisotopes, the wonder tool

Venice: a guide in colour

Venice: a guide in colour

Psalms

Psalms

Fortran autotester

Fortran autotester

Evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and Swaption prices by Ravi Jagannathan Download PDF EPUB FB2

We evaluate the classical Cox et al. (Econometrica 53(2) () ) (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 by: An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices Ravi Jagannathan, Andrew Kaplin, Steve Guoqiang Sun.

NBER Working Paper No. Issued in December NBER Program(s):Asset Pricing. We evaluate the classical Cox, Ingersoll and Ross () (CIR) model using data on LIBOR, swap rates and caps and Cited by: 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. Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis Article in European Finance Review 5(3).

An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices,” (). An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets,” Working Paper, CaseAuthor: F.C.J.M.

de Jong, J. Driessen and A. Pelsser. “An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices,” Journal of EconometricsGoogle Scholar Jamshidian, F.

().Cited by:   We use data on interest rates, and cap and swaption prices from – The empirical results show that, if the number of hedge instruments is equal to the number of factors, multi-factor models outperform one-factor models in hedging caps and by: "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, vol.

(), pages Ravi Jagannathan & Andrew Kaplin & Steve Guoqiang Sun,   An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices. Journal of Econometrics,Author: Haitao Li.

A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives - Volume 38 Issue 4 - Sandra Peterson, Richard C. Stapleton, Marti G. SubrahmanyamCited by: We evaluate the classical Cox et al. (Econometrica 53(2) () ) (CIR) model using data on London Interbank Offer Rate (LIBOR), swap rates and caps and swaptions.Pricing and Hedging Interest Rate Options: Evidence from Cap-Floor Markets adapts a multi-factor LIBOR market mode l to price Bermudan.

the models are calibrated using cap/floor prices .