Interest Rate Model Calibration Using Semidefinite Programming
| dc.creator | d'Aspremont, Alexandre | |
| dc.date | 2003-02-25 | |
| dc.date | 2005-10-05 | |
| dc.date.accessioned | 2026-07-07T06:21:04Z | |
| dc.date.available | 2026-07-07T06:21:04Z | |
| dc.description | We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can then be priced as options on a basket of lognormal assets and an approximation formula is derived for such options. This formula is centered around a Black-Scholes price with an appropriate volatility, plus a correction term that can be interpreted as the expected tracking error. The calibration problem can then be solved very efficiently using semidefinite programming. | |
| dc.identifier | https://arxiv.org/abs/cs/0302034 | |
| dc.identifier | http://arxiv.org/abs/cs/0302034 | |
| dc.identifier | Applied Mathematical Finance 10(3), pp. 183-213, September 2003 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/95483 | |
| dc.subject | Computational Engineering, Finance, and Science | |
| dc.subject | J.1 | |
| dc.title | Interest Rate Model Calibration Using Semidefinite Programming | |
| dc.type | text |