An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices

DOI10.1016/S0304-4076(03)00105-2zbMath1026.62112OpenAlexW1533526012MaRDI QIDQ1398974

Andrew Kaplin, Ravi Jagannathan, Steve Sun

Publication date: 7 August 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00105-2

zbMATH Keywords

swaptionsCAPSLIBOR and swap marketsmulti-factor CIR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

Term structure movements implicit in Asian option prices ⋮ Risky forward interest rates and swaptions: quantum finance model and empirical results ⋮ A tractable interest rate model with explicit monetary policy rates ⋮ SWAPTION PRICING IN AFFINE AND OTHER MODELS ⋮ Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities ⋮ Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption ⋮ Empirical option pricing: A retrospection ⋮ Studying term structure of SHIBOR with the two-factor Vasicek model ⋮ Model misspecification analysis for bond options and Markovian hedging strategies ⋮ Do interest rate options contain information about excess returns? ⋮ Time to build and bond risk premia ⋮ Time to build and bond risk premia ⋮ Interest Rate Derivatives Pricing with Volatility Smile

Cites Work

• Exact solutions for bond and option prices with systematic jump risk
• Interest rate dynamics, derivatives pricing, and risk management
• A Theory of the Term Structure of Interest Rates
• Unnamed Item

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