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Improving Swaption Calibration in Factor HJM Stochastic Volatility Models: A First-Order Correction to Frozen Swap-Rate Loadings
The factor HJM stochastic volatility model introduced by Sepp and Rakhmonov (2025) obtains tractable swaption pricing by freezing the nonlinear swap-rate loading along a deterministic expected-state path. This removes the dependence of conditional swap-rate variance on the current yield-curve state.
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