random volatility of the short rate are manifested mostly in bond option prices rather than in bond prices … interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level … of the short rate itself. Besides bond and bond futures, the model yields analytical solutions for prices of European …

combines calibration flexibility of market models with tractability and computational efficiency of shot rate models. The … methodology enables robust calibration to the whole variety of caps and swaptions with various expirations, strikes and tenors. In …

substantial resolution of these obstacles. By focusing on no-arbitrage models using a long bond as a numeraire, we avoid problems …

in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …-term government bond yields and long-term market interest rates, primarily through their effects on the current short-term interest …