Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?

Using more than two years of daily interest rate cap price data, this paper provides a systematic documentation of a volatility smile in cap prices. We find that Black (1976) implied volatilities exhibit an asymmetric smile (sometimes called a sneer) with a stronger skew for in-the-money caps than out-of-the-money caps. The volatility smile is time varying and is more pronounced after September 11, 2001. We also study the ability of generalized LIBOR market models to capture this smile. We show that the best performing model has constant elasticity of variance combined with uncorrelated stochastic volatility or upward jumps. However, this model still has a bias for short- and medium-term caps. In addition, it appears that large negative jumps are needed after September 11, 2001. We conclude that the existing class of LIBOR market models can not fully capture the volatility smileLIBOR market models, volatility smile, interest rate caps

THE STUDY OF OUTSTANDING HURDLING SPORTSMEN'S ISOKINETIC JOINT ANGLE

The isokintetic strength test systematic has a lot of functions. This text only tests the joint angles of 15 elites of our country, tight and accurate in the course of testing. After the repeated correction instrument, the athlete does a good job of the abundant warming-up exercise in order to test out the most accurate result, offer the accurate material to coach and scientific research personnel, grasp the joint angle that a qualified player gave play to the biggest muscular strength, find the best training scheme or regularity, raise the sport achievement