Pricing caps with HJM models: the benefits of humped volatility
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Publication:613457
DOI10.1016/j.ejor.2010.06.019zbMath1206.91085OpenAlexW2148097004MaRDI QIDQ613457
Publication date: 20 December 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://repec.deps.unisi.it/quaderni/563.pdf
Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (6)
A cyclical square-root model for the term structure of interest rates ⋮ A noisy principal component analysis for forward rate curves ⋮ Implications of implicit credit spread volatilities on interest rate modelling ⋮ Valuation of European crude oil options with co-jump diffusions and stochastic interest rate ⋮ EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE ⋮ Pricing and risk management of interest rate swaps
Cites Work
- Interest rate option pricing with volatility humps
- The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
- LIBOR and swap market models and measures
- Classes of interest rate models under the HJM framework
- Finite dimensional affine realisations of HJM models in terms of forward rates and yields
- An analytically tractable interest rate model with humped volatility
- A Theory of the Term Structure of Interest Rates
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- WHEN IS THE SHORT RATE MARKOVIAN?
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
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