BGM Finding Skew Fall 2022 Update

We are pleased to announce the latest Finding Skew update for Fall 2022 is now available. A historical regression approach can be used to imply a market skew over a time series of pre-selected benchmark European swaption volatilities. Our paper outlines a process to estimate skew and applies this process to estimate recent skew patterns in both the CEV and Displaced Diffusion BGM model extensions based on recent 2022 market data. Reach out to us at to obtain a copy!