REBONATO, RICCARDO - In: International Journal of Theoretical and Applied … 09 (2006) 05, pp. 705-746
This work presents the first systematic analysis of the whole swaption matrix by fitting a parsimonious, nonlinear, financially-inspired volatility model to market data. The study uses several years of data spanning period of major market volatility. We find that the quality of the fits is good...