Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
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Publication:4345919
DOI10.1111/j.1467-9965.1991.tb00020.xzbMath0900.90107OpenAlexW2022565268MaRDI QIDQ4345919
Publication date: 31 August 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00020.x
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (19)
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES ⋮ The multifactor nature of the volatility of futures markets ⋮ Kernel-correlated Lévy field driven forward rate and application to derivative pricing ⋮ Discrete-time bond and option pricing for jump-diffusion processes ⋮ A heat kernel approach to interest rate models ⋮ A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework ⋮ Valuation and hedging of contingent claims in the HJM model with deterministic volatilities ⋮ Existence of Lévy term structure models ⋮ The equivalent martingale measure conditions in a general model for interest rates ⋮ What is the natural scale for a Lévy process in modelling term structure of interest rates? ⋮ Real-world jump-diffusion term structure models ⋮ A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps ⋮ A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model ⋮ A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model ⋮ Markovian short rates in multidimensional term structure Lévy models ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion ⋮ The surprise element: Jumps in interest rates. ⋮ Rational term structure models with geometric Lévy martingales ⋮ A class of jump-diffusion bond pricing models within the HJM framework
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- Point processes and queues. Martingale dynamics
- Martingales and stochastic integrals in the theory of continuous trading
- A stochastic calculus model of continuous trading: Complete markets
- A Theory of the Term Structure of Interest Rates
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
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