In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We … build an interest rate model for which all the market price changes of hedging instruments, interest rate swaps and European …

The topic of this master thesis is the study of a LIBOR forward swap model with stochastic volatility and its … calibration based on the market European swaption implied volatility surface. The first part of the thesis will briefly review the … most common short rate models; it will introduce the Heath-Jarrow-Morton framework and it will describe the LIBOR swap …

-Scholes result. We show that a swaption pricing formula is nothing more than the Black-76 formula scaled by the underlying swap … discuss how to evaluate and price an interest swap, which is the swaption underlying instrument. We proceed to examine how to … calculation. Finally applying the Radon-Nikodym derivative to change measure from the annuity measure to the savings account …