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- January 5th, 2007, 2:02 pm
- Forum: Student Forum
- Topic: What is the volatility hump for the 3m LIBOR cap vol and what are its causes?
- Replies: 6
- Views: 89390
What is the volatility hump for the 3m LIBOR cap vol and what are its causes?
Rebonato (1999) has a good explanation on the location of the hump issue.
- January 5th, 2007, 2:02 pm
- Forum: Student Forum
- Topic: What is the volatility hump for the 3m LIBOR cap vol and what are its causes?
- Replies: 6
- Views: 89390
What is the volatility hump for the 3m LIBOR cap vol and what are its causes?
Rebonato (1999) has a good explanation on the location of the hump issue.
- January 5th, 2007, 1:53 pm
- Forum: Student Forum
- Topic: Multiple Factor Libor Market Model
- Replies: 8
- Views: 85044
Multiple Factor Libor Market Model
like in what cases the volatilities can get negative?