Cheyette model
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
The present of futures
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
A nonparametric local volatility model for swaptions smile
This paper proposes a nonparametric local volatility Cheyette model and applies it to pricing interest rate swaptions.
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model