a proportionality constant which is comparable to the spot rate volatility. This suggests that forward rate market … volatility `hump' around one year found by several authors (and which we confirm). Finally, the number of independent components …

.Dai, 2001], this paper advance the concept of development power, give its basic models, and try to establish a theory of … theory, we can explain and solve some important problems in macroeconomic researches, such as how the economic cycle be …

maturity has its own uniqueness and accordingly supports the Market Segmentation theory. The findings also imply that affine …

on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve … the cap implied volatility. Incorporating the three residual factors improves the explained variance in cap implied … volatility to over 95 percent. We investigate the reasons behind the ``amplification'' of yield curve residuals in pricing …

interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the … three additional factors to capture the movement of the implied volatility surface. …

approach is applied to estimate the volatility structure implied by futures contracts traded on the Chicago Mercantile Exchange. …