The Term Structure of Simple Forward Rates with Jump Risk

DOI10.1111/1467-9965.00021zbMath1087.91024OpenAlexW3121713455MaRDI QIDQ4812840

S. G. Kou, Paul Glasserman

Publication date: 23 August 2004

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

Full work available at URL: https://doi.org/10.1111/1467-9965.00021

zbMATH Keywords

jumpsinterest ratesarbitragelibor market model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

Related Items (27)

SABR/LIBOR market models: pricing and calibration for some interest rate derivatives ⋮ THEORY AND CALIBRATION OF SWAP MARKET MODELS ⋮ Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity ⋮ The Lévy Swap Market Model ⋮ Statistical arbitrage in jump-diffusion models with compound Poisson processes ⋮ The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension ⋮ Jump-adapted discretization schemes for Lévy-driven SDEs ⋮ FFT network for interest rate derivatives with Lévy processes ⋮ Fast swaption pricing under the market model with a square-root volatility process ⋮ Pricing cross-currency interest rate swaps under the Lévy market model ⋮ Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation ⋮ The valuation of contingent capital with catastrophe risks ⋮ Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps ⋮ A jump-diffusion Libor model and its robust calibration ⋮ A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation ⋮ The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship ⋮ VASIČEK BEYOND THE NORMAL ⋮ A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps ⋮ The Markov-switching jump diffusion LIBOR market model ⋮ Markov models for commodity futures: theory and practice ⋮ First passage times of a jump diffusion process ⋮ Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals ⋮ A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models ⋮ Multiple stochastic volatility extension of the Libor market model and its implementation ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion ⋮ THE AFFINE LIBOR MODELS ⋮ A class of jump-diffusion bond pricing models within the HJM framework

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Hedging contingent claims on semimartingales
• LIBOR and swap market models and measures
• Post-'87 crash fears in the S\&P 500 futures option market
• The Market Model of Interest Rate Dynamics
• Bond Market Structure in the Presence of Marked Point Processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
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