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

DOI10.1142/S0219024906003767zbMath1138.91473MaRDI QIDQ5487838

Riccardo Rebonato

Publication date: 12 September 2006

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

zbMATH Keywords

swaption pricingdisplaced diffusionlibor market modelcalibration to swaption matrix

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• LIBOR and swap market models and measures
• Operational Risk Management
• The Market Model of Interest Rate Dynamics
• A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL
• Financial Modelling with Jump Processes
• ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH

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