Forward-rate volatilities and the swaption matrix: Why neither time-homogeneity nor time-dependence are enough

International Journal of Theoretical and Applied Finance

Volumn 9, Issue 5, 2006, Pages 705-746

  Rebonato, Riccardo ^a,b,c  

^a ROYAL BANK OF SCOTLAND   (United Kingdom)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Calibration to swaption matrix; Displaced diffusion; LIBOR Market Model; Swaption pricing

Indexed keywords

EID: 33747311955     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024906003767     Document Type: Article

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