A tractable yield-curve model that guarantees positive interest rates

DOI10.1007/BF01531145zbMath1274.91437OpenAlexW1970504406MaRDI QIDQ375261

Antoon Pelsser

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01531145

zbMATH Keywords

fundamental solutionscontingent claimsinterest rate optionsyield-curve models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

A tractable yield-curve model that guarantees positive interest rates ⋮ Calibration of one-factor and two-factor hull-white models using swaptions ⋮ A collateralized loan’s loss under a quadratic Gaussian default intensity process ⋮ Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk ⋮ Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model ⋮ A multi-quality model of interest rates

Cites Work

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