Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …

The topic of this master thesis is the study of a LIBOR forward swap model with stochastic volatility and its … calibration based on the market European swaption implied volatility surface. The first part of the thesis will briefly review the … rate volatility. In particular the thesis will follow the approach described by Wu and Zhang 2006. This approach allows a …

volatilities of the credit spreads implicitly obtained from Libor time series. In order to understand how assumed volatility … forecast error and both the accuracy in volatility modelling and the accuracy of the Monte Carlo method. We analyze and …

to identify a two-dimensional stochastic volatility process for the level of rates. The process is identified step by … Heston stochastic volatility models informs about what different specifications of the driving SDEs has to offer in terms of …-dependent volatility function and a mean reverting volatility process. The performance of the extended (SABR with mean-reversion) model is …