RT Journal Article SR Electronic T1 Implied Remaining Variance in Derivative Pricing JF The Journal of Fixed Income FD Institutional Investor Journals SP 19 OP 32 DO 10.3905/jfi.2014.23.4.019 VO 23 IS 4 A1 Peter Carr A1 Jian Sun YR 2014 UL https://pm-research.com/content/23/4/19.abstract AB In this note, the authors give a way to calculate a swaption-implied volatility curve in closed form via the well-known quadratic root formula. The closed-form expression has three free parameters, which parsimoniously govern the assumed dynamics of implied volatility under forward swap measure. Preliminary empirical work suggests the curve fits the swaptions market well (although not perfectly). Unlike previous models of stochastic implied volatility, the current model has no implications for the dynamics of instantaneous volatility.TOPICS: Derivatives applications, quantitative methods