On swap rate dynamics: to freeze or not to freeze?

DOI10.1080/00207160.2016.1247441zbMath1403.91357OpenAlexW3122525924MaRDI QIDQ3174922

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Publication date: 18 July 2018

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2016.1247441

zbMATH Keywords

yield curvedrift freezeinstantaneous forward ratelow variance martingaleNelson Siegel model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Long-term factorization in Heath-Jarrow-Morton models

Cites Work

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• Interest rate theory and geometry
• Interest rate models -- theory and practice. With smile, inflation and credit
• A multicurrency extension of the lognormal interest rate market models
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• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
• The Market Model of Interest Rate Dynamics
• Interest rate model calibration using semidefinite Programming
• IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS
• THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM

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