Pietersz, Raoul; Pelsser, Pelsser, A.A.J. - Faculteit der Economische Wetenschappen, Erasmus … - 2003
This article presents a novel approach for calculating swap vega per bucket in the Libor BGM model. We show that for some forms of the volatility an approach based on re-calibration may lead to a large uncertainty in estimated swap vega, as the instantaneous volatility structure may be distorted...