2 papers
q-fin.PR2026
Explicit local volatility formula for Cheyette-type interest rate models
Alexander Gairat, Vyacheslav Gorovoy, Vadim Shcherbakov
This paper addresses the approximation of the local volatility function in the Cheyette interest rate model. Its main contribution is an explicit analytical formula for approximati…
q-fin.MF2024
Extreme ATM skew in a local volatility model with discontinuity: joint density approach
Alexander Gairat, Vadim Shcherbakov
This paper concerns a local volatility model in which volatility takes two possible values, and the specific value depends on whether the underlying price is above or below a given…