Speaker: Viatcheslav Belyaev
Abstract: Local Volatility (LV) is a very powerful tool for market modeling. This tool can be used to generate arbitrage-free scenarios calibrated to all available options. Here we demonstrate how to implement LV in order to reproduce most swaption prices within a single model. There was a good agreement between market prices and Monte Carlo prices for all tenors and maturities from 2 to 20 years.
Vincent Hall - Room 6
Via Zoom