Discover how a Bermuda swaption provides multiple exercise opportunities on fixed dates, offering investors flexible interest rate swaps and strategic financial planning.

Bruno Dupire’s local volatility model gained popularity over the past two decades for being able to uniquely map volatility to spot and time, and therefore calibrate exactly to the volatility smile ...

Rates quants need no introduction to the stochastic alpha, beta, rho (SABR) model. Widely used to price European swaptions, the model has a useful expansion that allows users to calibrate it to the ...

NEW YORK, March 13 (Reuters) - Investors in U.S. interest rate options are paying a premium for trades that will pay off if there is a dramatic drop in interest rates, suggesting the derivatives ...