Paper: arXiv 2510.15984

Authors: K. E. Feldman

Abstract

A new semi-analytical pricing model for Bermudan swaptions based on swap rates distributions and correlations between them. The model does not require product specific calibration.

Complexity vs Empirical Score

  • Math Complexity: 7.5/10
  • Empirical Rigor: 2.5/10
  • Quadrant: Lab Rats — theoretically deep, empirically untested

Why this score: The paper presents a sophisticated analytical framework using change-of-numeraire techniques, measure changes, and copula integration to price Bermudan swaptions without product-specific calibration. However, it is predominantly a theoretical quantitative finance paper that lacks empirical backtesting, empirical validation on market data, or open-source code implementation.

Research Flowchart

  flowchart TD
    A["Research Goal:<br>Price Bermudan Swaptions<br>without product calibration"] --> B["Inputs:<br>Swap rate distributions<br>& correlations"]
    B --> C["Methodology:<br>Develop semi-analytical<br>pricing framework"]
    C --> D["Computational Process:<br>Evaluate exercise boundaries<br>& cash flows"]
    D --> E["Key Outcome:<br>Fast, accurate pricing<br>independent of specific calibration"]