A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives
提出一个易处理且灵活的随机波动率多因子利率期限结构模型，能拟合利率、互换期权和利率上限的广泛面板数据，尤其匹配隐含波动率偏斜和动态。
We develop a tractable and flexible stochastic volatility multifactor 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 measures, in terms of a finite-dimensional 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.