SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives
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http://hdl.handle.net/2183/38112
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SABR/LIBOR market models: Pricing and calibration for some interest rate derivativesAutor(es)
Fecha
2014-09-01Cita bibliográfica
A. M. Ferreiro, J. A. García-Rodríguez, J. G. López-Salas, y C. Vázquez, «SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives», Applied Mathematics and Computation, vol. 242, pp. 65-89, sep. 2014, doi: 10.1016/j.amc.2014.05.017.
Resumen
[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.
Palabras clave
SABR/LIBOR market models
Calibration
Parallel simulated annealing
GPUs
CUDA
Calibration
Parallel simulated annealing
GPUs
CUDA
Descripción
© 2014 Elsevier. This manuscript version is made available under the CCBY-
NC-ND 4.0 license https://creativecommons.org/licenses/by-ncnd/
4.0/. This version of the article has been accepted for publication in
Applied Mathematics and Computation (ISSN 1873-5649). The Version of
Record is available online at 10.1016/j.amc.2014.05.017.
Versión del editor
Derechos
Atribución-NoComercial-SinDerivadas 3.0 España
ISSN
0096-3003
1873-5649
1873-5649