Efficient Long-dated Swaption Volatility Approximation in the Forward-LIBOR Model


We provide an efficient swaption volatility approximation in the lognormal forward-LIBOR model to accurately price for longer maturities and tenors. In particular, we approximate the swaption volatility with a mean update of... [ view full abstract ]


  1. Jacques van Appel (University of Johannesburg)
  2. Thomas McWalter (University of Cape Town)

Topic Areas

Computational Finance , Interest Rates , Numerical Methods


WED-P-UI » Approximating the Volatility Smile (14:30 - Wednesday, 18th July, Ui Chadhain)

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