The objective of this paper is to perform a joint analysis of jump activity for commodities and their respective volatility indices. Exploiting the property that for affine jump-diffusion models a volatility index, which is quoted on the market, is an affine function of the instantaneous...

We derive valuation formulas for caps and floors on backward-looking term rates in the Black-1976, Bachelier and Hull-White-1-Factor models explicitly regarding valuation in the fixing period, extending and detailing results of [Lyashenko & Mercurio 2019, Henrard 2019, Turfus 2020]. These...

The study proposes an arbitrage-free methodology of VIX term structure modeling that is tailored to handle the most actively traded VIX options. Under the model, the evolution of future VIX is completely determined by the volatility function of forward VIX squared normalized by VIX futures...

A callable leveraged constant maturity swap (CMS) spread note allows the holder to benefit from future changes in the spread between two swap interest rates. The issues retains the right to call the note at pre-specified times in the future. The note is priced via Monte Carlo simulation using...

Using day-end pricing data from a comprehensive data base not readily available outside of China, an algorithm to trade near-the-money call option time spreads on China's SSE 50 ETF was developed and tested. Analysis of in-sample data, suggested profitable trading rules that, when applied to...

One-factor no-arbitrage models of the short rate are important tools for valuing interest rate derivatives. Trees are often used to implement the models and fit them to the initial term structure. This paper generalizes existing tree building procedures so that a very wide range of interest rate...

Constant maturity swaps (CMS), CMS spreads and similar products are analyzed in multi-factor HJM models. For Gaussian models, which include some Libor Market Models and the G2 model, explicit approximated formula are provided. The approximations are done through two different approaches: an...

Based on the works of Brockman and Turtle (2003) and Giesecke (2004), we propose in this study a hybrid barrier option model to explain observed credit spreads. It is free of problems with the structural model which underprescribed credit spreads for investment grade corporate bonds and...

In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...

In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyze the pricing and hedging implications of term structure movements when options are (or not) included in the estimation process. We analyze how options...