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Results tagged with libor-market-model
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user 26559
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Why is the LMM with mixture dynamics (Brigo & Mercurio) inconsistent for the pricing of exot...
My impression is that Piterbarg criticizes the mixture approach because it is not consistent with the stochastic volatility (SV) world. In the SV world, instanteneous volatility (or variance) continuo …
- 1,214
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Accepted
Pricing & hedging vanilla interest rate options with SABR LMM
I can hardly think of any advantage of using the SABR LMM for a vanilla book. The SABR LMM should be anyway calibrated to the smile (usually marked in the SABR model)? If the calibration is perfect (u …
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