haku: @author Pelsser, A. / yhteensä: 3
viite: 2 / 3
Tekijä: | Jong, F. de Driessen, J. Pelsser, A. |
Otsikko: | Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis |
Lehti: | European Finance Review
2001 : VOL. 5:3, p. 201-237 |
Asiasana: | MARKETS MODELS MODEL TESTING PRICING EMPIRICAL RESEARCH |
Kieli: | eng |
Tiivistelmä: | The authors empirically compare Libor and Swap Market Models for the pricing of interest rate derivatives using panel data on prices of US caplets and swaptions. A Libor Market Model can directly be calibrated to observed prices of caplets, whereas a Swap Market Model is calibrated to a certain set of swaption prices. For both models the authors analyze how well they price caplets and swaptions that were not used for calibration. The authors show that the Libor Market Model in general leads to better prediction of derivative prices that were not used for calibration than the Swap Market Model. Also, the authors find that Market Models with a declining volatility function give much better pricing results than a specification with a constant volatility function. |
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