Swaption Prices in HJM model. Nonparametric fit

2016/07/06 by V. M. Belyaev, Belyaev, V. M. · 1 citation
Economics, Econometrics and Finance · Mathematics · #Arbitrage #Credit Risk and Financial Regulations #Econometrics #Economics #FOS: Economics and business #Financial Markets and Investment Strategies #Financial economics #Heath–Jarrow–Morton framework #Mathematical economics #Mathematics #Nonparametric statistics #Parametric statistics #Pricing of Securities (q-fin.PR) #Statistics #Stochastic processes and financial applications #Volatility (finance) #q-fin.PR

paper · pdf · doi:10.48550/arxiv.1607.01619

published in arXiv (Cornell University) (Cornell University) · 8 pages, 6 figures

openalex publication_date 2016/07/06 · arxiv created 2017/04/10 · arxiv updated 2017/04/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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

Cited by

• Small Volatility Approximation and Multi-Factor HJM Models

Related

• Efficient swaptions price in Hull-White one factor model
• Volatility Swap Under the SABR Model
• The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility
• HJM Local Volatility Model
• Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model