Understanding of volatility term structure is highly relevant both for market agents and policymakers. As traditional methodologies often bring results contradicting situation on the markets, we revisit volatility term structure modeling in univariate case. In this paper we benefit from...

We propose an analytical approximation of the term structure of interest rates under general diffusion processes of the short-rate and state variables. A method of approximating conditional moments as the solution to a system of ordinary differential equations is applied to the pricing of bonds....

Understanding of volatility term structure is highly relevant both for market agents and policymakers. As traditional methodologies often bring results contradicting situation on the markets, we revisit volatility term structure modeling in univariate case. In this paper we benefit from...