Technical paper/Swaptions
Berms without calibration
This paper suggests semi-analytical pricing model for Bermudan swaptions based on swap-rate distributions and the correlations between them which does not require product specific calibration.
Valuation and risk management of vanilla Libor swaptions in a fallback
A procedure to price vanilla European Libor swaptions derived from the SABR model is presented
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
One-dimensional Markov-functional models driven by a non-Gaussian driver
The aim of this paper is to move away from a Gaussian assumption and to provide new algorithms that can be used to implement a Markov-functional model driven by a more general class of one-dimensional diffusion processes.
The swap market Bergomi model
The combination of two popular volatility models sharpens the hedging of exotic rate derivatives
Local stochastic volatility: shaken, not stirred
Dominique Bang introduces a novel LSV approach to term distribution modelling
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
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.
Bounding Bermudans
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
XVA at the exercise boundary
Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
Smile with the Gaussian term structure model
This paper presents a natural extension of the LGM that keeps the affine structure and generates an implied volatility smile.
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Counterparty credit risk pricing and measurement of swaption portfolios
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi…
SABR symmetry
SABR symmetry
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model