Author: McWalter, Thomas
Similar Items: Volatility transformation in a multi-curve setting applied to caps and swaptions
- Break-even volatility for caps, floors and swaptions
- Pricing swaptions on amortising swaps
- Historically implied swaption skews using non-parametric methods
- Calibrating the LIBOR market model to swaptions with an extension for illiquidity in South Africa
- Multi-curve bootstrapping and implied discounting curves in illiquid markets
- Modelling stochastic multi-curve basis