This paper seeks to contribute a simple and (almost) model-free way of assessing the economic value of the Bermudan exercise right derived from a “minimal” local volatility enhanced interest rate model.
Research into rates pricing is becoming more urgent given recent regulatory changes
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
This paper proposes a nonparametric local volatility Cheyette model and applies it to pricing interest rate swaptions.
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
A quadratic volatility Cheyette model