Sektion 5
Donnerstag, 21.09.2000, 16.00–16.50 Uhr, POT 361

Relative pricing of complex structured products in a multi-factor LIBOR model

Hermann Haaf, Dresdner Bank AG

John Schoenmakers, Weierstrass Institute Berlin

In the first part of the talk we give an introduction to the state of the art multi-factor LIBOR model and address some issues on efficient simulation and calibration.

Thereafter, we present an overview of a range of interest rate products, from elementary plain vanilla instruments like swaps, caps/floors, European swaptions etc. to more sophisticated products such as Bermudan swaptions etc., and briefly explain their usage.

Finally, we explain why the LIBOR Market model is perfectly suited to measure covariance effects (e.g. between LIBOR- and swap rates), which are commonly referred to as ”convexity adjustments”, playing a crucial role in a number of interest rate derivatives.