ANDRESEN, ARNE; BENTH, FRED ESPEN; KOEKEBAKKER, STEEN; … - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450008-1
option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating … it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent … with both the spot rate dynamics and forward rate volatility structure. …