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Pricing interest rate derivatives under volatility uncertainty
Holzermann, Julian - 2020
arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion …We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …
Persistent link: https://www.econbiz.de/10012175590
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Two Curves, One Price : Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Bianchetti, Marco - 2018
associated to the two yield curves, that carries on a volatility and correlation dependence. Numerical scenarios confirm that …
Persistent link: https://www.econbiz.de/10012940386
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Pricing Interest Rate Derivatives Under Monetary Policy Changes
Genaro, Alan - 2013
Traders worldwide use interest rate options and futures to speculate on future monetary decisions, in particular in countries where the monetary regime is Inflation Targeting (IT). Central Banks under an IT regime tend to define the target rate on scheduled meetings. We propose in this paper a...
Persistent link: https://www.econbiz.de/10013091162
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A term-structure model for dividends and interest rates
Filipović, Damir; Willems, Sander - 2017
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and...
Persistent link: https://www.econbiz.de/10011874740
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The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility
Oya, Kenjiro - 2018
In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We build an interest rate model for which all the market price changes of hedging instruments, interest rate swaps and European swaptions, are interpreted as the state variable...
Persistent link: https://www.econbiz.de/10012912383
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GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Dang, Duy-Minh - 2011
Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …
Persistent link: https://www.econbiz.de/10013133913
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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
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Non-Parametric Pricing of Long-Dated Volatility Derivatives Under Stochastic Interest Rates
Joshi, Mark S. - 2015
Although the effect of interest rate stochasticity can safely be ignored for short-dated exchange traded volatility … institutions. We therefore extend existing model-free results for the pricing of variance swaps and more general volatility …
Persistent link: https://www.econbiz.de/10013022607
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The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives
Grzelak, Lech A. - 2014
In this article we define a multi-factor equity-interest rate hybrid model with non-zero correlation between the stock and interest rate. The equity part is modeled by the Heston model [Heston-1993] and we use a Gaussian multi-factor short rate process [Brigo,Mercurio-2007; Hull-2006]. By...
Persistent link: https://www.econbiz.de/10013070982
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Chapter 20 Fixed-income pricing
Dai, Qiang; Singleton, Kenneth J. - 2003
include affine, quadratic-Gaussian, and various stochastic volatility models of the term structure. Then we turn to models …
Persistent link: https://www.econbiz.de/10014023851