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An arithmetic pure-jump multi-curve interest rate model

Hess, Markus - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-30

Persistent link: https://www.econbiz.de/10012183228

Unspanned stochastic volatility from an empirical and practical perspective

Backwell, Alex - In: Journal of banking & finance 122 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012659269

Hedging futures options with stochastic interest rates

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016

Persistent link: https://www.econbiz.de/10011778107

General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets

Ulrich, Maxim - 2008

Persistent link: https://www.econbiz.de/10003751650

Exotische Zinsswaps : Bewertung, Hedging und Analyse

Bardenhewer, Martin Maria - 2000 - 1. Aufl

Persistent link: https://www.econbiz.de/10001506472

Managing interest rate volatility risk : key rate vega

Ho, Thomas S. Y. - In: The journal of fixed income 17 (2007) 3, pp. 6-17

Persistent link: https://www.econbiz.de/10003687329

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

Persistent link: https://www.econbiz.de/10009271374

Hedging Futures Options with Stochastic Interest Rates

Cheng, Benjamin - 2016

This paper presents a simulation study of hedging long-dated futures options, in the Rabinovitch (1989) model which … hedging instruments match the maturity of the option, forward contracts and futures contracts can hedge both the market risk … and the interest rate risk of the options positions. When the hedge is rolled forward with shorter maturity hedging …

Persistent link: https://www.econbiz.de/10012982917

Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis

Amin, Ahsan - 2010

We follow Mercurio's extension of the LIBOR market model with stochastic Basis spreads and model the joint evolution of forward rates belonging to the discount curve and corresponding spreads with FRA rates. We consider Heston stochastic-volatility dynamics and show how to calculate the swaption...

Persistent link: https://www.econbiz.de/10013136298

Pricing and hedging bond power exchange options in a stochastic string term-structure model

Blenman, Lloyd P.; Bueno-Guerrero, Alberto; Clark, Steven P. - In: Risks : open access journal 10 (2022) 10, pp. 1-17

-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding …

Persistent link: https://www.econbiz.de/10013555525

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