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Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate

Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 57-72

Persistent link: https://www.econbiz.de/10012587815

A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes

Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177

Persistent link: https://www.econbiz.de/10011846254

Pricing range accrual interest rate swap employing LIBOR market models with jump risks

Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373

Persistent link: https://www.econbiz.de/10011938138

Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479

Persistent link: https://www.econbiz.de/10014293114

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187

Persistent link: https://www.econbiz.de/10009727702

Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate

Cao, Jiling - 2014

along with the Heston stochastic volatility model for pricing variance swaps with discrete sampling times. A dimension …-dimensional partial differential equation. A close form exact solution to the fair delivery price of a variance swap is obtained via …

Persistent link: https://www.econbiz.de/10013048657

Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae

Burgess, Nicholas - 2018

-Scholes result. We show that a swaption pricing formula is nothing more than the Black-76 formula scaled by the underlying swap … discuss how to evaluate and price an interest swap, which is the swaption underlying instrument. We proceed to examine how to …

Persistent link: https://www.econbiz.de/10012931188

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

Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate

Yang, Ben-Zhang; Yue, Jia; Huang, Nan-Jing - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10012030903

Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model

Baviera, Roberto - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10012153037

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