are split into three components. The first component allows us to match the volatility term structure, the second … generates stochastic volatility, and the third one accommodates for stochastic skew. The model is parsimonious, yet flexible … enough to accommodate the behavior of both caps and swaptions well. For the joint estimation we use a comprehensive dataset …

function to maturity that satisfies the consistency condition, the European volatility smile is obtained. As an illustration of … the formalism, we show that when the underlying asset price changes at constant volatility (standard deviation), the … offer a parameterization of the volatility smile with a closed-form expression using pre-calculated tables. Comprehensive …

-dependent mean reversion and volatility-of-variance function, so as to be consistent with the observed variance swap curve and a pre … second moments of the integrated variance, and derive an approximation for the price of a volatility swap under the time … then apply a similar analysis to a time-dependent Heston stochastic volatility model, and we show to construct a time …

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

We conduct an empirical analysis of the term structure in the volatility risk premium in the fixed income market by … returns that seem uncorrelated suggests that the term structure is affected by both jump risk and volatility risk. The results …

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional …

This paper tests the pricing accuracy and the hedging performance of the stochastic volatility with random jumps model … in markets extended to contain swap contracts whose payoffs depend on the realized higher moments of the state variable …

The aim of this paper is to present the multi-factor swap market model with non-parametric local volatility functions … and stochastic volatility scaling factors. We provide a Dupire-like formula with which calibration can be carried out with …