Lecture Computational Finance 2 / Appl. Math. Fin. 19: Discrete Term Structure Models (6)
Channel: finmath
Date: 14/02/2021

Lecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 19: Discrete Term Structure Models (Part 6)

The sixth session on discrete term structure models, modelling a discrete set of forward rates (LIBOR market model).

- Calibration (Part 1)  - Market Implied versus Historical Calibration
  - Calibration of the Initial Conditions.
  - Calibration of Forward Rate Volatilities to Caplets
  - Numerically Checking Caplet Implied Volatility
  - Calibration of Forward Rate Volatilities to Swaptions (Bootstrapping)