LMM Enhancements Webcast - July 09
Document ID: 2009-1506
Published on: 16th July 2009
Author: Steven Morrison
This webcast was delivered by Steven Morrison on the topic of LMM Enhancements.
In this webcast, we will describe two enhancements to our implementation of the Libor Market Model:
- Changes to the way we specify and calibrate volatility and correlation, allowing a closer fit to market swaption prices.
- The ability to simulate the model under different probability measures, giving the user some control over the frequency of “exploding” interest-rates.
These enhancements are available in iESG V6.2 and Calibration Tools V4.
The download file contains a .wmv video file which will allow you to "replay" the webcast in full, a PDF of the webcast slides, and a summary of the questions and answers from the session.
For more information, see these related documents:
- Simulating the Libor Market Model Under Different Probability Measures: A Cure for Exploding Rates?
- Libor Market Model: Market Consistent Calibration Methodology
If you have any further questions on this webcast, please contact Steven Morrison (.(JavaScript must be enabled to view this email address); +44 (0)131 625 0210).
