Swaption Prices in HJM model. Nonparametric fit

V. M. Belyaev

Papers from arXiv.org

Abstract: Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be used to identify arbitrage opportunities

Date: 2016-07, Revised 2017-04
New Economics Papers: this item is included in nep-ger
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1607.01619

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