Abstract
The first Figure 5.1 shows the market cap volatility structure with the characteristic hump at the beginning where cubic spline interpolation has been used between the market volatility points. The dashed line is the stripped caplet volatility which is used to calibrate the libor market model for pricing caps.
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© 2014 Springer Fachmedien Wiesbaden
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Hackl, C. (2014). Applications and Results. In: Calibration and Parameterization Methods for the Libor Market Model. BestMasters. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-04688-0_5
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DOI: https://doi.org/10.1007/978-3-658-04688-0_5
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Publisher Name: Springer Gabler, Wiesbaden
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Online ISBN: 978-3-658-04688-0
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