Vol-Bond: an analytical solution

DOI10.1088/1469-7688/3/4/304zbMath1405.91585OpenAlexW2100067840MaRDI QIDQ4647270

Roberto Baviera

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/3/4/304

zbMATH Keywords

Heath-Jarrow-Morton modelVol-Bond

Mathematics Subject Classification ID

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

Cites Work

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• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• Changes of numéraire, changes of probability measure and option pricing
• A simplified exposition of the health, Jarrow and Morton model
• Interest rate models -- theory and practice

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