This paper uses an extensive set of market data of forward swap rates and swaptions covering 3 July 2002 to 21 May 2009 … to identify a two-dimensional stochastic volatility process for the level of rates. The process is identified step by … investigates the smile dynamics of forward swap rates at their setting dates. Comparing the SABR (with different $\beta$s) and …

-known “blow up” effect; it is necessary to truncate the volatility function at some suitably high level of rates. Much greater … Jamshidian (1997) describes a similar model in which forward-starting swap rates are modelled. It seems that generally, models of …

volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives … panel data, including the US Libor rates, Swap rates, caps and swaptions. By estimating our model via the extended Kalman …

Volatility Skew and Smile of Interest Rate products (Swaption and Caplet) are represented by SABR (Stochastic Alpha … SABR volatility surface. In the interest rate derivatives models, Libor Market Model (LMM) (in a post-Libor world, Forward …