A tractable interest rate model with explicit monetary policy rates

DOI10.1016/j.ejor.2015.12.014zbMath1346.91245OpenAlexW2192113494MaRDI QIDQ322788

Jean-Paul Renne

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.12.014

zbMATH Keywords

option pricingregime switchingyield curvemarket expectations

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Valuation of caps and swaptions under a stochastic string model ⋮ Kriging of financial term-structures ⋮ A model of the euro-area yield curve with discrete policy rates ⋮ Macroeconomic environment, money demand and portfolio choice

Cites Work

• A cyclical square-root model for the term structure of interest rates
• A comparative evaluation of alternative models of the term structure of interest rates
• A general version of the fundamental theorem of asset pricing
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• An analytically tractable interest rate model with humped volatility
• Stochastic calculus for finance. II: Continuous-time models.
• Interest rate term structure modelling
• A Theory of the Term Structure of Interest Rates
• A simple class of square-root interest-rate models
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
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