PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES

DOI10.1142/S0219024918500371zbMath1416.91370OpenAlexW2188301549WikidataQ129415925 ScholiaQ129415925MaRDI QIDQ4686504

Alan De Genaro, Marco Avellaneda

Publication date: 10 October 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500371

zbMATH Keywords

interest rate derivativesdeterministic timed jumpsovernight interest rate

Mathematics Subject Classification ID

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

Related Items (1)

In memoriam: Marco Avellaneda (1955–2022)

Cites Work

• Three ways to solve for bond prices in the Vasiček model
• Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance.
• Point processes and queues. Martingale dynamics
• Affine processes and applications in finance
• A Theory of the Term Structure of Interest Rates
• Term structure movements implicit in Asian option prices
• Modeling the Term Structure of Interest Rates: A Review of the Literature
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous

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