Especificaciones alternativas de la estructura temporal de volatilidades
- Silla Sancho, Estanislao
- Navarro Arribas, Eliseo
ISSN: 0210-2633
Datum der Publikation: 2005
Titel der Ausgabe: Instrumentos derivados
Nummer: 69
Seiten: 51-66
Art: Artikel
Andere Publikationen in: Cuadernos económicos de ICE
Zusammenfassung
In this paper we examine the term structure of instantaneous volatilities of forward rates for the Spanish market covering the period 1999-2002. This analysis is undertaken within the LIBOR Market Model framework. A new model with easily understandable parameters is proposed to describe the behaviour of the instantaneous volatility of forward rates. Two other alternatives are calibrated using data from the cap market and used as benchmarks to test the accuracy of the new model.