FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH

DOI10.1142/S0219024906003767MaRDI QIDQ5487838zbMATH OpenFDO

Authors Riccardo Rebonato

Publication date 12 September 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024906003767

zbMATH Keywords

calibration to swaption matrixdisplaced diffusionlibor market modelswaption pricing

Mathematics Subject Classification ID

Recommendations

• A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
• The Market Model of Interest Rate Dynamics
• Stochastic volatility for interest rate derivatives
• A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
• Forward and future implied volatility

Cites work

• A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL
• Coherent stress testing. A Bayesian approach to the analysis of financial stress
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 5827377 (Why is no real title available?)
• LIBOR and swap market models and measures
• On the term structure of loss distributions: a forward model approach
• The Market Model of Interest Rate Dynamics

Cited in

(2)

• Is normal backwardation normal? Valuing financial futures with a local index-rate covariance
• A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE

This page was built for publication: FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5487838)