interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level …, yield curve options, etc. The advantage of our discrete-time model over continuous-time stochastic volatility models is that … volatility is an observable function of the history of the spot rate and is easily (and exactly) filtered from the discrete …

maturity varying yields, maturity varying volatility, and maturity varying interest rates. Most research papers focused on …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …