Financial Economist

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location New York, United States
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visits member for 3 years
seen Jan 10 at 9:37

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accepted What is a Heat Rate Option?
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comment What is a Heat Rate Option?
bill_080 Thank you very much for the response. The documents you provided look promising on getting at least basic understanding of the issue.
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asked What is a Heat Rate Option?
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comment How is mean reversion implied by different valuations of Bermudan swaptions?
Brian B, thank you for your answer. This is pretty much what I had in mind. But, could you please tell me how different methods of volatility calibration can imply mean reversion? I suspect that it has to do with coterminal vs vfit vol calibration but not sure exactly how this could give me the mean reversion.
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comment How is mean reversion implied by different valuations of Bermudan swaptions?
The model that is used is the Quadratic Gaussian Model (wilmott.com/messageview.cfm?catid=4&threadid=83920). But the answer should be independent of the model, no? It is more the concept that I don't understand, not the exact application to this specific model.
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awarded  Student
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asked How is mean reversion implied by different valuations of Bermudan swaptions?