VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

DOI10.1111/j.1467-9965.1995.tb00101.xzbMath0866.90023OpenAlexW1983489597MaRDI QIDQ3125791

L. Sankarasubramanian, Peter H. Ritchken

Publication date: 20 July 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00101.x

zbMATH Keywords

term structure dynamicsvolatility structuretwo- dimensional state variable Markov process

Mathematics Subject Classification ID

Related Items (49)

Volatility structures of forward rates and the dynamics of the term structure: a multifactor case ⋮ The stochastic string model as a unifying theory of the term structure of interest rates ⋮ A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES ⋮ A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models ⋮ Interest rate futures: estimation of volatility parameters in an arbitrage-free framework ⋮ Markov interest rate models ⋮ A numerical PDE approach for pricing callable bonds ⋮ A continuous dependence result for ultraparabolic equations in option pricing ⋮ Impact of multiple curve dynamics in credit valuation adjustments under collateralization ⋮ Bond market completeness under stochastic strings with distribution-valued strategies ⋮ Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor ⋮ Explosion in the quasi-Gaussian HJM model ⋮ ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS ⋮ Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ On pricing kernels and finite-state variable Heath Jarrow Morton models ⋮ American stochastic volatility call option pricing: a lattice based approach ⋮ A tractable yield-curve model that guarantees positive interest rates ⋮ Interest rate theory and geometry ⋮ Nash estimates and upper bounds for non-homogeneous Kolmogorov equations ⋮ Pricing caps with HJM models: the benefits of humped volatility ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ Interest Rates Term Structure Models Driven by Hawkes Processes ⋮ Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective ⋮ Valuation and hedging of contingent claims in the HJM model with deterministic volatilities ⋮ Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility ⋮ Existence of Lévy term structure models ⋮ Small-noise limit of the quasi-Gaussian log-normal HJM model ⋮ EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL ⋮ On accurate and provably efficient GARCH option pricing algorithms ⋮ Duration, factor sensitivities, and interest rate Greeks ⋮ Factors' correlation in the Heath-Jarrow-Morton interest rate model ⋮ Efficient Factor Models For Yield Curve Dynamics ⋮ Pointwise estimates for a class of non-homogeneous Kolmogorov equations ⋮ Interest Rate Risk Management ⋮ Term Structure Models: A Perspective from the Long Rate ⋮ A binomial approximation for two-state Markovian HJM models ⋮ A comparison of single factor Markov-functional and multi factor market models ⋮ Efficiently pricing barrier options in a Markov-switching framework ⋮ Real-world jump-diffusion term structure models ⋮ Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments ⋮ A preference free partial differential equation for the term structure of interest rates ⋮ An extended Heath-Jarrow-Morton risk-neutral drift ⋮ A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model ⋮ Markovian spot rate dynamics with stochastic volatility structures ⋮ Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach ⋮ Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme ⋮ A class of jump-diffusion bond pricing models within the HJM framework ⋮ The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

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