Corpus ID: 14793546

A STOCHASTIC VOLATILITY MODEL FOR BERMUDA SWAPTIONS AND CALLABLE CMS SWAPS

@inproceedings{Albanese2005ASV,
  title={A STOCHASTIC VOLATILITY MODEL FOR BERMUDA SWAPTIONS AND CALLABLE CMS SWAPS},
  author={Claudio Albanese},
  year={2005}
}
  • Claudio Albanese
  • Published 2005
  • It is widely recognized that fixed income exotics should be priced by means of a stochastic volatility model. Callable constant maturity swaps (CMS) are a particularly interesting case due to the sensitivity of swap rates to implied swaption volatilities for very deep out of the money strikes. In this paper, we introduce a stochastic volatility term structure model based on a continuous time lattice which allows for a numerically stable and quite efficient methodology to price fixed income… CONTINUE READING
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    Pricing futures by deterministic methods
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