-economic shock measurement …

This paper examines how volatility positions can be optimally constructed by modeling the selection process as a linear … parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases …) events to construct a linear system where feasible solutions represent an investor’s optimal volatility position. Significant …

allows for a more adequate fit to the swaption volatility smile. We first present a general framework based on the HJM model … and then make a separability assumption on the instantaneous forward rate volatility, thus enabling a representation of … models by analyzing calibration and pricing in the case where the forward rate volatility is a linear function of the short …