Approximate pricing of swaptions in affine and quadratic models

DOI10.1080/14697688.2017.1292043zbMath1402.91781OpenAlexW3125253249MaRDI QIDQ4555143

Ruggero Caldana, Anna Maria Gambaro, Gianluca Fusai

Publication date: 19 November 2018

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/17020/1/ApproximatePricingSwaption.pdf

zbMATH Keywords

Fourier transformboundspricingswaptionsaffine quadratic models

Mathematics Subject Classification ID

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

Cites Work

• A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
• Stochastic duration and fast coupon bond option pricing in multi-factor models
• Variance-optimal hedging for processes with stationary independent increments
• Parsimonious HJM modelling for multiple yield curve dynamics
• PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS
• SWAPTION PRICING IN AFFINE AND OTHER MODELS
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions