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• W2230789872 abstract "We present a stochastic-volatility, short rate term structure model, which extends the classic multi-factor Hull-White model. This model is designed to fit the swaption implied volatility cube and to incorporate the two-curve modeling paradigm. The model exhibits non-Gaussian forward swap rates whose distributions are parameterized across the dimensions of the volatility cube: underlying tenor, option strike and option expiration. To facilitate rapid model calibration, we establish suitable asymptotic expressions for the bond prices. Furthermore, we derive an effective SABR dynamics for each forward swap rate. Finally, we use the mean field approximation to match the effective SABR parameters corresponding to each swaption to the market levels." @default.
• W2230789872 created "2016-06-24" @default.
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• W2230789872 date "2015-01-01" @default.
• W2230789872 modified "2023-09-27" @default.
• W2230789872 title "A Dual-Curve Short Rate Model with Multi-Factor Stochastic Volatility: I. Asymptotic Analysis" @default.
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• W2230789872 doi "https://doi.org/10.2139/ssrn.2634313" @default.
• W2230789872 hasPublicationYear "2015" @default.
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