The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

DOI10.1080/14697688.2012.740569zbMath1280.91197OpenAlexW1997741852MaRDI QIDQ5746767

Andrey Pogudin, Nick Deguillaume, Riccardo Rebonato

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.740569

zbMATH Keywords

interest ratesconstant elasticity of variancerealised volatilityimplied volatilities

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; economic indices and measures (91B82)

Related Items (10)

Proof of non-convergence of the short-maturity expansion for the SABR model ⋮ The value of convexity: a theoretical and empirical investigation ⋮ Interest rate trees: extensions and applications ⋮ CONSISTENT YIELD CURVE PREDICTION ⋮ Simulation and evaluation of the distribution of interest rate risk ⋮ A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions ⋮ The value of convexity: a theoretical and empirical investigation ⋮ Multi-curve Modelling Using Trees ⋮ Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk ⋮ How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR

Cites Work

• Estimating continuous-time stochastic volatility models of the short-term interest rate
• LIBOR and swap market models and measures
• A Theory of the Term Structure of Interest Rates
• A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
• Analysis of drawdowns and drawups in the US$ interest-rate market
• The Market Model of Interest Rate Dynamics
• The Term Structure of Simple Forward Rates with Jump Risk
• AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK
• An equilibrium characterization of the term structure
• WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?

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