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Article
Calibration accuracy of three variants of the Libor Market Model
01 December 2022 - by Pierre-Edouard Arrouy, Paul Bonnefoy, Elias Bouiti, Alexandre Boumezoued, Julien Vedani
We highlight a Libor market model with constant elastic volatility, showing an interesting trade-off between parameters used and quality of results.
Article
Challenges in the calibration of real world models within Economic Scenarios Generators
16 September 2021 - by Hervé Andrès, Pierre-Edouard Arrouy, Paul Bonnefoy, Alexandre Boumezoued, Sophian Mehalla, Julien Vedani
Learn why the best economic scenario generator solution provides the choice of different methods and what challenges real world models pose.
Article
LSMC Surgery
03 September 2021 - by Adel Cherchali, Abdal Chaudhry, Michael Leitschkis, Julien Vedani
Proxy models are not always easy to validate, so we present a useful framework to make LSMC troubleshooting more accurate.