Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2011-06-07
2011-06-07
Khattar, Rajesh (Department: 3693)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S035000
Reexamination Certificate
active
07958044
ABSTRACT:
A method for determining the implied volatility of a swap option employs intuitive factors to arrive at a close approximate of volatility. The volatility curve is a convex shaped curve which more closely follows real market volatility than previous methods. The slope of the curve is provided by employing a premium model which allows for a correlation between rates and volatility. The convex shaped curve is arrived by assuming a lognormal distribution for the underlying volatility.
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Chislenko Julia
Halestrap Luke
Levin Ronald
Lewicki Pawel M.
Pradier Lionnel
Goodwin & Procter LLP
JPMorgan Chase Bank N.A.
Khattar Rajesh
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