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- W2001796345 abstract "This article presents a novel approach for calculating swap vega per bucket in the Libor BGM model. We show that for some forms of the volatility an approach based on re-calibration may lead to a large uncertainty in estimated swap vega, as the instantaneous volatility structure may be distorted by re-calibration. This does not happen in the case of constant swap rate volatility. We then derive an alternative approach, not based on re-calibration, by comparison with the swap market model. The strength of the method is that it accurately estimates vegas for any volatility function and at a low number of simulation paths. The key to the method is that the perturbation in the Libor volatility is distributed in a clear, stable and well understood fashion, whereas in the re-calibration method the change in volatility is hidden and potentially unstable." @default.
- W2001796345 created "2016-06-24" @default.
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- W2001796345 date "2003-01-01" @default.
- W2001796345 modified "2023-09-27" @default.
- W2001796345 title "Risk Managing Bermudan Swaptions in the Libor BGM Model" @default.
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- W2001796345 doi "https://doi.org/10.2139/ssrn.383580" @default.
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