CMS Spread Caps Stochastic Local Volatility Libor Market Model

Version 1.0.0.0 (27,7 KB) von Kienitz Wetterau FinModelling
Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model.
5.0
(2)
1,5K Downloads
Aktualisiert 22. Mai 2012

Lizenz anzeigen

This is illustrating material for chapter 4 of the Wiley Finance book "Financial Modelling: Theory, Implementation and Practice with MATLAB Source" by Kienitz and Wetterau.

We consider a local stochastic volatility Libor Market model. The local volatility of displaced diffuison type and the stochastic volatility is of Heston type. This is combined with a term structure of volatility and a flexible correlation structure (both in parametric form). The model allows for time dependent displacement.
We provide an analytic solution to the problem which is very fast and can be used for calibration of such an advanced model to market quotes.

Zitieren als

Kienitz Wetterau FinModelling (2024). CMS Spread Caps Stochastic Local Volatility Libor Market Model (https://www.mathworks.com/matlabcentral/fileexchange/36812-cms-spread-caps-stochastic-local-volatility-libor-market-model), MATLAB Central File Exchange. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2012a
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
Kategorien
Mehr zu Risk Management Toolbox finden Sie in Help Center und MATLAB Answers
Quellenangaben

Inspiriert von: 2D Simpson's Integrator

Inspiriert: Risk Neutral Densities for Financial Models

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Veröffentlicht Versionshinweise
1.0.0.0