Our Constant Elasticity of Variance (CEV) and Displaced Diffusion (DD) skew models support continuous skew parameters ranging from near-normal to near-lognormal, allowing market participants a simple and intuitive way to impart forecasts on forward market dynamics onto PolyPaths’ analytical outputs. Join us to learn more about how market participants can select their desired value for this parameter using liquid observations from the European swaption market. Full details and registration are available here.
Thursday March 11th – 11am ET
PolyPaths Finding Skew
Topics will include:
- Introduction to BGM interest rate modeling and skew
- Deriving closed-form approximations for skew
- Developing an intuitive process for estimating skew from market data
- Drawing conclusions about the nature of skew from current and historical market observations
To register for this webinar, please click here.