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- W3036702869 abstract "Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied volatility surface. If so, practitioners cannot identify the price of risk of one market by using a model of another, even if it depends on the same underlying interest rate. We extend the methodology in established literature by incorporating non-linear effects essential to derivatives pricing. In addition, a simple and intuitive model of the implied volatility surface is provided. We find that factors, unspanned by the term structure help predict variations in the implied volatility surface." @default.
- W3036702869 created "2020-06-25" @default.
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- W3036702869 date "2012-01-01" @default.
- W3036702869 modified "2023-09-24" @default.
- W3036702869 title "The Cap Market, the Term Structure and the Unspanned Factors: Taking Care of Non-Linearity" @default.
- W3036702869 doi "https://doi.org/10.2139/ssrn.2138944" @default.
- W3036702869 hasPublicationYear "2012" @default.
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