Swaption Prices in HJM model. Nonparametric fit
arXiv:1607.01619
Abstract
Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be used to identify arbitrage opportunities
8 pages, 6 figures