Interest Rate Derivatives Pricing with Volatility Smile

DOI10.1007/978-3-642-17254-0_7zbMath1229.91317OpenAlexW2167284531MaRDI QIDQ3112457

Hai-Tao Li

Publication date: 10 January 2012

Published in: Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-17254-0_7

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Nonparametric option pricing under shape restrictions
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• Nonparametric risk management and implied risk aversion
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• The Market Model of Interest Rate Dynamics
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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