ON THE VARIANCE AND SKEWNESS OF THE SWAP RATE IN A STOCHASTIC VOLATILITY INTEREST RATE MODEL

被引：0

作者：

Palapies, Lars ^{[1
]}

机构：

[1] Dr Nagler & Co GmbH, Schmallenberg, Germany

来源：

SOUTH AFRICAN STATISTICAL JOURNAL | 2021年 / 55卷 / 02期

关键词：

Interest rate models; Stochastic processes; Swaption pricing; TERM STRUCTURE; BOND; OPTIONS;

D O I：

10.37920/sasj.2021.55.2.2

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper provides new insight in the distribution of the (forward par) swap rate in a stochastic volatility model for the dynamics of the forward rate curve. First the swap rate dynamics are obtained in a multi-curve environment with deterministic spread. Then, the variance of the swap rate is derived making use of a result on the distribution of random variables generated by extended square-root diffusion processes. Also, the skewness is derived by Ito calculus. These results give rise to moment-matching swaption price formulas which are expected to permit a fast approximate calibration of the model.

引用

页码：109 / 123

页数：15

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