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 …

Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust …) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a … applying S&P500 data from January 2000 to June 2010, we show that the estimation of the model matches well with the boom and …

estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the local linearization filter of …

This paper seeks to estimate a multifactor volatility model so as to describe the dynamics of interest rate markets … a multifactor volatility model also eliminates the need to include a jump component, the existence of which would create …

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 …