maturity swap (CMS) rates. Here we examine the influence of the swaption volatility cube on CMS spread options and compare our …We consider the joint dynamic of a basket of n-assets where each asset itself follows a SABR stochastic volatility …

pricing and hedging equity derivatives. Prominent examples include stochastic volatility models, jump diffusion models, and …

the estimation of a humped forward rate volatility model for Eurodollar futures series traded on the Chicago Mercantile …-deterministic instantaneous forward rate volatility. In this case the forward rate is Markovian, even if the spot rate process is not. However … instantaneous forward rate, which may result in estimation bias. This paper circumvents both of these assumptions. First, the bias …

rates in the estimation of forward rate models. It is therefore desirable to derive the evolution of observable rates, then … use the distributional properties of this evolution to do the estimation. In a general case where these properties are …

variables. Estimation of this volatility function is at the heart of the identification of the HJM model. The paper develops a … structure of interest rates to state space form for a fairly general class of volatility specification including stochastic … the estimators. It is shown that not all combinations of the parameters of the volatility function are equally likely. The …

squared GOP volatility then follows a square root process of dimension four. …