The swap market Bergomi model

Kenjiro Oya
09 Dec 2019

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Kenjiro Oya builds a forward variance model for the co-terminal swap market model. With the model, the position management of exotic
interest rate products, eg, Bermudan swaptions, can be performed in a more sophisticated and systematic manner

It is common practice to hedge the volatility exposure of exotic derivatives products with vanilla options. However, the methodology behind volatility exposure hedging has not yet been fully established. The difficulty lies in

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