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Swaption Prices in HJM model. Nonparametric fit

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  • V. M. Belyaev

Abstract

Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be used to identify arbitrage opportunities

Suggested Citation

  • V. M. Belyaev, 2016. "Swaption Prices in HJM model. Nonparametric fit," Papers 1607.01619, arXiv.org, revised Apr 2017.
    • Handle: RePEc:arx:papers:1607.01619
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    1. Heath, David & Jarrow, Robert & Morton, Andrew, 1990. "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 419-440, December.
    2. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
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