We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite …

fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …