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

We study the term structure of the implied volatility in a situation where the smile is symmetric. Starting from the … distributions, we derive representation formulae for the at-the-money (ATM) implied volatility level and curvature in a general … price. To deal with the remaining part of the volatility surface, we build a time dependent SVI-type approximation which …

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

anytime prior to maturity. We model the underlying mutual fund dynamics by combining a Heston (1993) stochastic volatility … influencing the policyholder's surrender behaviour is carried out, highlighting the significance of both stochastic volatility and …

This paper discusses the relation between forward price models (FPM) and the so called implied volatility term …

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …

fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …