Interest rate trees: extensions and applications

DOI10.1080/14697688.2017.1406131zbMath1400.91631OpenAlexW2597613201MaRDI QIDQ4554489

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Publication date: 14 November 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2017.1406131

zbMATH Keywords

term structurenegative interest ratesrisk-neutral worldreal worldalternative drift functionsno-arbitrage model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
• Multi-curve Modelling Using Trees
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

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