Pricing caps with HJM models: the benefits of humped volatility
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More about this item
KeywordsFinance; interest rates; humped volatility; Kalman filter; cap and floor pricing;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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