Author: Mahomed, Obeid
Similar Items: Break-even volatility for caps, floors and swaptions
- Break-Even Volatility
- Volatility transformation in a multi-curve setting applied to caps and swaptions
- A Comparison Between Break-Even Volatility and Deep Hedging For Option Pricing
- Accounting for roll-over risk in the pricing of caps and floors
- Pricing swaptions on amortising swaps
- Historically implied swaption skews using non-parametric methods