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Essays on empirical term structure modeling
Zhao, Feng - 2004
Persistent link: https://www.econbiz.de/10003387673
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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B. - 2010
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under...
Persistent link: https://www.econbiz.de/10012761268
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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B. - 2006
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under...
Persistent link: https://www.econbiz.de/10012466328
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Bewertung unbedingter börsenbehandelter Zins-Derivate und Analyse von Arbitrage-Gewinnmöglichkeiten mit Hilfe von Arbitrage-Signalen
Giegold, Uwe Alexander - 2004
Persistent link: https://www.econbiz.de/10012874882
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Modeling and pricing precipitation derivatives under weather forecasts
Hess, Markus - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10011568818
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Estimating the value of flexibility from real options : on the accuracy of hybrid electricity price models
Pape, Christian; Woll, Oliver; Weber, Christoph - 2018
, notably the limited storability of electricity and the incompleteness of the derivative markets, make this problem also … realized values. This approach is chosen since no derivative markets exist where the (extrinsic) values for the real options …
Persistent link: https://www.econbiz.de/10011944105
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Pricing temperature derivatives under weather forecasts
Hess, Markus - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-34
Persistent link: https://www.econbiz.de/10011903773
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Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1712
Persistent link: https://www.econbiz.de/10009687956
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Empirical comparison of alternative implied volatility measures of the forecasting performance of future volatility
Rhee, Dong Woo; Byun, Suk Joon; Kim, Sol - In: Asia-Pacific journal of financial studies 41 (2012) 1, pp. 103-124
Persistent link: https://www.econbiz.de/10009514731
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A Fast Algorithm to Combine Binomial Option Pricing Framework with Stochastic Volatility Forecasts from a T-GARCH Model for Valuation of Path Dependent Options : A Path Integral Ap...
Gadiraju, Pavan - 2015
This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a GARCH model with the binomial tree methodology to price path-dependent options. The framework exploits the premise of the path integral methodology of combining the terminal...
Persistent link: https://www.econbiz.de/10013021590