Description: Panel session exploring a variety of issues connected to long-term disability reserve buyouts, including: · Advantages and risks for buyers and sellers · Use of appropriate reserving assumptions · Possible financial structures for a buyout

Description: We consider Libor market model and calibration process. We estimate some interest rate derivatives such as Caps and Swaptions. We use Monte Carlo methods with appropriate dynamics under spot measure and forward measure. Imposing martingale discretization property, the same quantities are estimated again to see a contrast or discrepancy in light of confidence interval. Based on algorithms discussed in the paper, “Arbitrage-free discretizations of lognormal forward Libor and swap rate models” by Glasserman, P and Zhao, X 2000, the algorithms are implemented in excel VBA. Starting with current market data such as FRAs and Bond Prices, we describe steps involved to estimate the price of interest rate derivatives such as Caps and Swaptions, which would be beneficial to the practitioners in the industry.