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Effect of liquidity on the implied volatility surface in interest rate options markets
Kim, Kwanho - In: Global business and finance review 22 (2017) 3, pp. 45-60
Persistent link: https://www.econbiz.de/10011849353
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Volatility indices and implied uncertainty measures of European government bond futures
Baran, Jaroslav; Voříšek, Jan - 2020
Persistent link: https://www.econbiz.de/10013384851
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A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
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 …
Persistent link: https://www.econbiz.de/10003635097
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Sensitivity of interest rate caps to the elasticity of forward rate volatility
Sahut, Jean-Michel; Mili, Mehdi - In: International journal of business 11 (2006) 2, pp. 107-119
Persistent link: https://www.econbiz.de/10003341988
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Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797794
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Estimating LIBOR swaps spot-volatilities : the EpiVolatility model
Bianchi, Stephen W.; Wets, Roger J.-B.; Yang, Liming - In: Dynamic stochastic optimization : [this volume includes …, (pp. 99-114). 2004
Persistent link: https://www.econbiz.de/10003487959
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Essays in financial economics
Lu, Yinqiu - 2005
Persistent link: https://www.econbiz.de/10003553447
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Libor Market Models with stochastic volatility and CMS spread option pricing
Lutz, Matthias - 2011
Persistent link: https://www.econbiz.de/10009375797
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A flexible matrix Libor model with smiles
Da Foncesca, José; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of economic dynamics & control 37 (2013) 4, pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
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Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940
Persistent link: https://www.econbiz.de/10009710001