Technical paper
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model
Smile in the low moments
Smile in the low moments
Lois: credit and liquidity
The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit risk. By…