Discrete Time Term Structure Theory and Consistent Recalibration Models
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Publication:4607042
DOI10.1137/15M1007434zbMath1407.91256arXiv1409.1830OpenAlexW23576800MaRDI QIDQ4607042
Publication date: 12 March 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.1830
calibrationvolatility surfaceaffine processfinite dimensional realizationforward characteristic process
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
A noisy principal component analysis for forward rate curves ⋮ Noncausal affine processes with applications to derivative pricing ⋮ Affine processes beyond stochastic continuity ⋮ Simulation of Implied Volatility Surfaces via Tangent Lévy Models
Cites Work
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- Affine processes and applications in finance
- Tangent Lévy market models
- Arbitrage-free market models for option prices: the multi-strike case
- Local volatility dynamic models
- Time-inhomogeneous affine processes
- On a Heath-Jarrow-Morton approach for stock options
- On the geometry of the term structure of interest rates
- TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A market model for stochastic implied volatility
- Stochastic finance. An introduction in discrete time
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