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Methods for Constructing a Yield Curve: Wilmott Magazine Article
Patrick S. Hagan & Graeme West 1612 Views

In this paper we survey a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case of yield curves we also review the issue of bootstrapping and discuss how the interpolation algorithm should be in- timately connected to the bootstrap itself.
Managing Smile Risk: Wilmott Magazine Article
Patrick S.Hagan, Deep Kumar, Andrew S.Lesniewski and Diana E.Woodward 8548 Views

Market smiles and skews are usually managed by using local volatility models a la Dupire. We discover that the dynamics of the market smile predicted by local vol models is the opposite of observed market behavior: when the price of the underlying decreases, local vol models predict that the smile shifts to higher prices; when the price increases, these models predict that the smile shifts to lower prices.

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