SABR/LIBOR market models: pricing and calibration for some interest rate derivatives

A. M. Ferreiro, J. A. Garc\'ia, J. G. L\'opez-Salas and C. V\'azquez

Papers from arXiv.org

Abstract: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models to incorporate stochastic volatilities have been proposed. The efficient calibration to market data of these more complex models becomes a relevant target in practice. The main objective of the present work is to efficiently calibrate some recent SABR/LIBOR market models to real market prices of caplets and swaptions. For the calibration we propose a parallelized version of the simulated annealing algorithm for multi-GPUs. The numerical results clearly illustrate the advantages of using the proposed multi-GPUs tools when applied to real market data and popular SABR/LIBOR models.

Date: 2024-08
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Ana M. Ferreiro, Jos\'e A. Garc\'ia-Rodr\'iguez, Jos\'e G. L\'opez-Salas, Carlos V\'azquez, SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives, Applied Mathematics and Computation, 242, 2014

Downloads: (external link)
http://arxiv.org/pdf/2408.01470 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2408.01470

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().