This paper compares the pricing and hedging performance of the LMM model against two spot-ratemodels, namely Hull … contrast to previous studies in the literature, ouremphasis here is on ALM and we use hedging performance on Bermudan swaptions …

particular, we compare the two models for pricing and hedging Bermudanswaptions because of its resemblance to prepayment option …

particular volatility formula may not be enough tocapture the term structure of different markets. Hedging performance of the …This paper tests the co-terminal swap market model (SMM) pricing and hedging performance onBermudan swaptions. To our … approximate the earlyexercise decision in Bermudan swaption. By introducing individual parameters for volatility of eachco …

The long memory characteristic of financial market volatility is well documentedand has important implications for … volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional … variance differently and could have very different volatility persistentparameters. Hence, they produce very different …