A UNIFIED MARKET MODEL FOR SWAPTIONS AND CONSTANT MATURITY SWAPS

DOI10.1142/S0219024921500266zbMath1470.91288OpenAlexW3185784197MaRDI QIDQ5010079

Jeroen Kerkhof, Chyng Wen Tee

Publication date: 24 August 2021

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

Full work available at URL: https://doi.org/10.1142/s0219024921500266

zbMATH Keywords

stochastic volatility modelsinterest rate modelsswaptionsconstant maturity swapsfixed income marketderivative valuationinterest rate market

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
• Interest rate models -- theory and practice. With smile, inflation and credit
• LIBOR and swap market models and measures
• ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING
• Displaced Diffusion as an Approximation of the Constant Elasticity of Variance
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
• Pricing Interest-Rate-Derivative Securities

This page was built for publication: A UNIFIED MARKET MODEL FOR SWAPTIONS AND CONSTANT MATURITY SWAPS