Anmerkungen:
In: Review of Financial Studies, vol. 22, no. 5, p. 2007-2057, 2009
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2007 erstellt
Beschreibung:
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analytical prices of zero-coupon bond options, and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finitedimensional affine state vector. The model has a very good fit to an extensive panel data set of interest rates, swaptions and caps. In particular, the model matches the implied cap skews and the dynamics of implied volatilities