A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions

DOI10.1080/14697688.2014.961530zbMath1398.91598OpenAlexW3125689246MaRDI QIDQ4683050

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Publication date: 19 September 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2014.961530

zbMATH Keywords

derivativesshort rateinterest rate models

Mathematics Subject Classification ID

Applications of graph theory (05C90) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Interest rate trees: extensions and applications ⋮ A multi-curve HJM factor model for pricing and risk management ⋮ Building recombining trinomial trees for time-homogeneous diffusion processes ⋮ Multi-curve Modelling Using Trees ⋮ Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk

Cites Work

• Unnamed Item
• 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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