BGM Finding Skew February 2024 Update

We are pleased to announce the latest Finding Skew update for February 2024 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 2024 market data. Reach out to us at to obtain a copy!