In this paper, a general binomial lattice framework, which is both computationally simple and numerically accurate, is developed for pricing real estate derivatives with stochastic interest rate. To obtain a computationally simple binomial tree with constant volatility, the transformation method...

In this paper we outline the European interest rate swaption pricing formula from first principles using the Martingale Representation Theorem and the annuity measure. This leads to an expression that allows us to apply the generalized Black-Scholes result. We show that a swaption pricing...

Economists contributing to the Austrian theory of capital use the theorem stating that a change in the real interest rate reallocates production factors. According to this theorem, a decrease in real interest rate shifts production factors into earlier stages of production and its increase...

The primary aim of this presentation is to introduce my new book "Low Latency Interest Rate Markets" and expose the reader to the theory and practice of interest rate markets. Interest rate markets exist to support government, corporate and project finance, however the financing of large-scale...

We employ conformal symmetries to provide a generic tractable framework for interest rate modelling. The approach combines calibration flexibility of market models with tractability and computational efficiency of shot rate models. The methodology enables robust calibration to the whole variety...

We derive a closed form expression for the convexity adjustment to be applied to a Libor coupon with non natural payment time. The model is a two dimensional lognormal model for the Libor rate and a forward rate naturally associated to this rate and the payment time of the coupon. In particular...

Multiple interest rate analysis (MIRA) is the study of all interest rate solutions to the time value of money (TVM) equation. These solutions include not only the orthodox solution produced by a financial calculator or spreadsheet but also the unorthodox solutions that a typical financial...

A one-dimensional partial differential-difference equation (pdde) under forward measure is developed to value European option under jump-diffusion, stochastic interest rate and local volatility. The corresponding forward Kolmogorov partial differential-difference equation for transition...

We collect some results in Piterbarg, Interest Rate Modelling, needed for the implementation of a GSR model. We develop explicit formulas for piecewise constant volatility and reversion parameters under the forward measure