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Understanding and managing interest rate risks

Chen, Ren-Raw - 1996

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Pricing and hedging volatility smile under multifactor interest rate models

Kuo, I.-doun - In: Review of quantitative finance and accounting 36 (2011) 1, pp. 83-104

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The effect of dynamic hedging of options positions on intermediate-maturity interest rates

Christodoulopoulos, Thanasis N.; Grigoratou, Ioulia - 2003

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Pricing swap options using the foreward swap market

Neuberger, Anthony - 1990

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Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models

Malyarenko, Anatoliy - 2010

In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one-factor stochastic interest rate models via partial integro-differential equations (PIDE). These models include, in particular, Ornshtein-Uhlenbeck (1930), Vasicek (1977),...

Persistent link: https://www.econbiz.de/10013144189