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SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives
dc.contributor.author | Ferreiro Ferreiro, Ana María | |
dc.contributor.author | García Rodríguez, José Antonio | |
dc.contributor.author | López Salas, José Germán | |
dc.contributor.author | Vázquez, Carlos | |
dc.date.accessioned | 2024-07-17T12:41:08Z | |
dc.date.available | 2024-07-17T12:41:08Z | |
dc.date.issued | 2014-09-01 | |
dc.identifier.citation | 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. | es_ES |
dc.identifier.issn | 0096-3003 | |
dc.identifier.issn | 1873-5649 | |
dc.identifier.uri | http://hdl.handle.net/2183/38112 | |
dc.description | © 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. | es_ES |
dc.description.abstract | [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. | es_ES |
dc.description.sponsorship | Partially financed by MICINN (MTM2010-21135-C02-01) and by Xunta de Galicia (Grant CN2011/004 cofunded with FEDER funds). Third author has also been funded by a FPU Spanish grant. The authors are very grateful to Nicolás Gómez Sellés and María Rodríguez Nogueiras for their collaboration in the development of this work. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier | es_ES |
dc.relation | info:eu-repo/grantAgreement/MICINN/Plan Nacional de I+D+i 2008-2011/MTM2010-21135-C02-01/ES/MODELOS, ANALISIS MATEMATICO Y RESOLUCION NUMERICA DE ALGUNOS PROBLEMAS EN CIENCIA E INGENIERIA BASADOS EN EDPS | es_ES |
dc.relation.uri | https://doi.org/10.1016/j.amc.2014.05.017 | es_ES |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject | SABR/LIBOR market models | es_ES |
dc.subject | Calibration | es_ES |
dc.subject | Parallel simulated annealing | es_ES |
dc.subject | GPUs | es_ES |
dc.subject | CUDA | es_ES |
dc.title | SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Applied Mathematics and Computation | es_ES |
UDC.volume | 242 | es_ES |
UDC.startPage | 65 | es_ES |
UDC.endPage | 89 | es_ES |
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