Calibration of one-factor and two-factor hull-white models using swaptions

DOI10.1007/s10287-018-0323-zOpenAlexW2808961124MaRDI QIDQ1722763

Gabriele Torri, Vincenzo Russo

Publication date: 18 February 2019

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0323-z

zbMATH Keywords

calibrationcoupon bond optionone-factor hull-white modelswaptiontwo-factor hull-white model

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (3)

A multi-curve HJM factor model for pricing and risk management ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Pricing equity-linked life insurance contracts with multiple risk factors by neural networks

Uses Software

• ASA

Cites Work

• Unnamed Item
• A tractable yield-curve model that guarantees positive interest rates
• Stochastic duration and fast coupon bond option pricing in multi-factor models
• Interest rate models -- theory and practice. With smile, inflation and credit
• A general Gaussian interest rate model consistent with the current term structure
• Efficient calibration of the Hull White model
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• A simple class of square-root interest-rate models
• Pricing Interest-Rate-Derivative Securities

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