Browsing GI-M2NICA - Artigos by Subject "Calibration"

Now showing items 1-2 of 2

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

      Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López Salas, José Germán; Vázquez, Carlos (Elsevier, 2014-09-01)
      [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 ...

    • Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs 

      Fernández, J. L.; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; Leitao, Álvaro; López Salas, José Germán; Vázquez, Carlos (Elsevier, 2013-08)
      [Abstract]: For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global optimization algorithm and to ...