In an affine term structure framework with stochastic volatility, we derive the characteristic function of the log swap …

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 …

We present a stochastic-volatility, short rate term structure model, which extends the classic multi-factor Hull …-White model. This model is designed to fit the swaption implied volatility cube and to incorporate the two-curve modeling paradigm … volatility cube: underlying tenor, option strike and option expiration. To facilitate rapid model calibration, we establish …

.We address the problem of the consistency of the Black-Scholes model with the volatility surface and we show that, under general … conditions, the Black-Scholes formula cannot be generalized to account for the volatility smile …

performance analysis is made of the single and multiple curve LFPM, where we include four deterministic volatility specifications …-Exponential Volatility (LEV) specification and that deterministic breakpoints should be included, rather than random breakpoints …

A Markovian Projection is investigated for the Local Stochastic Volatility Libor Market Model. An approximation based …

volatility indices. Exploiting the property that for affine jump-diffusion models a volatility index, which is quoted on the … market, is an affine function of the instantaneous volatility state variable (thus turning this quantity observable), we … perform a test of common jumps for multidimensional processes to assess whether an asset and its volatility jump together …

volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives …