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An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives
Chen, Rui - 2014
We propose a generalized arbitrage-free Nelson-Siegel model under the HJM framework. It features unspanned stochastic volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives, including European options, Caps and Swaptions are then...
Persistent link: https://www.econbiz.de/10013045728
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On the pricing and hedging of long dated zero coupon bonds
Platen, Eckhard - 2006
Persistent link: https://www.econbiz.de/10003384030
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Option pricing under incompleteness and stochastic volatility
Hofmann, Norbert - 1992
Persistent link: https://www.econbiz.de/10000834044
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A benchmark approach to quantitative finance
Platen, Eckhard; Heath, David C. - 2010 - Corr., 2. print.
Persistent link: https://www.econbiz.de/10008779415
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Laplace transform identities for diffusions, with applications to rebates and barrier options
Hulley, Hardy; Platen, Eckhard - 2007
Persistent link: https://www.econbiz.de/10003856697
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Recovering the real-world density and liquidity premia from option data
Barkhagen, Mathias; Blomvall, Jörgen; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344223
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Less expensive pricing and hedging of long-dated equity index options when interest rates are stochastic
Fergusson, Kevin; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344299
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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.; Platen, Eckhard - 2014
Persistent link: https://www.econbiz.de/10011344801
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A hybrid model for pricing and hedging of long dated bonds
Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - 2013
Persistent link: https://www.econbiz.de/10010349514