On The Variance And Skewness Of The Swap Rate In A Stochastic Volatility Interest Rate Model

DOI10.37920/SASJ.2021.55.2.2zbMATH Open1488.91149OpenAlexW3203109351MaRDI QIDQ5164146

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Publication date: 9 November 2021

Published in: South African Statistical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.37920/sasj.2021.55.2.2

zbMATH Keywords

stochastic processesinterest rate modelsswaption pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes

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