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has been cited by the following article:

• TITLE: Inferring Volatility from the Yield Curve

  AUTHORS: Vincent Brousseau, Alain Durré

  KEYWORDS: Yield Curve, Volatility, Consol Volatility, Affine Model

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.3, August 28, 2015

  ABSTRACT: In this paper, we assess how to recover the volatility of interest rates in the euro area money market, on the sole basis of the zero-coupon yield curve. Our primary result is that there exists an empirical regularity (linking rates and volatility) that takes a relatively simple mathematical form. We also show that the existence of such regularity cannot be explained by a reasoning based on the hypothesis of absence of opportunities of arbitrage since a continuous-time arbitrage-free model may produce instances of curves that are consistent with a continuum of level of volatilities. We exhibit an example for this.