WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?

DOI10.1142/S0219024903002079zbMath1079.91536MaRDI QIDQ5696860

Riccardo Rebonato

Publication date: 19 October 2005

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

zbMATH Keywords

LIBOR market modelCEVswaption implied volatilities

Mathematics Subject Classification ID

Related Items (8)

THEORY AND CALIBRATION OF SWAP MARKET MODELS ⋮ The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension ⋮ Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model ⋮ A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation ⋮ A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL ⋮ The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship ⋮ Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations ⋮ The Markov-switching jump diffusion LIBOR market model

Cites Work

• Information, endogenous uncertainty and risk aversion
• A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
• Volatility skews and extensions of the Libor market model

This page was built for publication: WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?