Mathematical foundation of convexity correction

DOI10.1088/1469-7688/3/1/306zbMath1405.91646OpenAlexW3125280390MaRDI QIDQ4647241

Antoon Pelsser

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/3/1/306

zbMATH Keywords

interest rate derivativesconvexity correction

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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A multivariate stochastic volatility model with applications in the foreign exchange market ⋮ Convexity adjustment for constant maturity swaps in a multi-curve framework ⋮ Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment ⋮ Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics ⋮ Valuation of the interest rate guarantee embedded in defined contribution pension plans ⋮ Pricing rate of return guarantees in regular premium unit linked insurance ⋮ Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate

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