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Implied distributions and implied asset dynamics: Calibration and visualisation of models on market data

Title
Implied distributions and implied asset dynamics: Calibration and visualisation of models on market data
Funding
ARC | Linkage Projects
Contract (GA) number
LP0562616
Start Date
2005/01/01
End Date
2008/12/31
Open Access mandate
no
Organizations
-
More information
http://purl.org/au-research/grants/arc/LP0562616

 

  • A Hybrid Commodity and Interest Rate

    A joint model of commodity price and interest rate risk is constructed analogously to the multi-currency LIBOR Market Model (LMM). Going beyond a simple "re-interpretation" of the multi-currency LMM, issues arising in the application of the model to actual commodity market data are specifically addressed. Firstly, liquid market prices are only available for options on commodity futures, rather than forwards, thus the difference between forward and futures prices must be explicitly taken into ...

    Calibration of Multicurrency LIBOR Market Models

    This paper presents a methodf or calibrating a multi currency lognormal LIBOR Market Model to market data of at-the-money caps, swaptions and FX options. By exploiting the fact that multivariate normal distributions are invariant under orthonormal transformations, the calibration problem is decomposed into manageable stages, while maintaining the ability to achieve realistic correlation structures between all modelled market variables.
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