%0 Journal Article
%A Weigel, Peter
%T Optimal Calibration of LIBOR Market Models to Correlations
%D 2004
%R 10.3905/jod.2004.450967
%J The Journal of Derivatives
%P 43-50
%V 12
%N 2
%X Another case in which correlations are critical is calibration of the LIBOR market model either to a set of implied correlations from swaption prices or to a set of estimated correlations from historical rate movements. The problem is that if there are n LIBOR rates under consideration, their correlation matrix will have n dimensions. In this article, Weigel presents a simple technique to reduce the dimensionality of the problem. He shows how the ?method of alternating projections? produces the correlation matrix of rank k
%U https://jod.pm-research.com/content/iijderiv/12/2/43.full.pdf