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Towards Generative Interest-Rate Modelling: Neural Perturbations Within the Libor Market Model

2025-12-04

Abstract excerpt

This study proposes a neural-augmented Libor Market Model (LMM) for swaption-surface calibration that enhances expressive power while maintaining the interpretability, arbitrage-free structure, and numerical stability of the classical framework. Classical LMM parametrizations, based on exponential-decay volatility functions and static correlation kernels, are known to perform poorly in sparsely quoted and long-ten...

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Literature Corpus work
e528846a-476b-5bde-958f-e604420b80f6
DOI
10.20944/preprints202512.0329.v1
Open publication

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Towards Generative Interest-Rate Modelling: Neural Perturbations Within the Libor Market ModelDOI 10.20944/preprints202512.0329.v1
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