-curve generalization of the market standard SABR model with stochastic volatility. We then report the results of an empirical analysis on … approach has retarded up to August 2010. Finally, we show the robustness of the SABR model to calibrate the market volatility …

managing even a single plain vanilla Swap. In this qualitative note we review the problem trying to shed some light on this …

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique … risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding …

for the implied volatility skew puzzle in equity options. We also discuss the key empirical predictions of the analogy …

indicated that both the Badla mechanism and the introduction of SSFs seem to have contributed to the higher volatility of the …

and Scholes volatility remains a favourite on trading floors in spite of well-known biases. One popular extension is to … make volatility a function of time and the underlying asset price, as in local volatility models. This paper presents an … alternative extension, which produces volatility-like quantities to address the skews and smiles found in most derivatives markets. …

In derivatives modelling, it has often been necessary to make assumptions about the volatility of the underlying …), Merton (1973) or Black (1976) models; one that depends on the level of the underlying variable as in the local volatility … volatility process as in Hull and White (1987) or Heston (1993). These forward-looking assumptions are by their very nature …