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Unspanned stochastic volatility : evidence from hedging interest rate derivatives

Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 61 (2006) 1, pp. 341-378

Persistent link: https://www.econbiz.de/10003302340

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 …-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite …

Persistent link: https://www.econbiz.de/10012761268

A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

Trolle, Anders B. - 2006

Persistent link: https://www.econbiz.de/10012466328

Nonparametric interest rate cap pricing : implications for the "unspanned stochastic volatility" puzzle

Wu, Tao L. - In: Asia-Pacific journal of financial studies 40 (2011) 4, pp. 577-598

Persistent link: https://www.econbiz.de/10009388552

A unified market model for swaptions and constant maturity swaps

Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31

Persistent link: https://www.econbiz.de/10012652680

Stochastic interest rate modeling with fixed income derivative pricing

Privault, Nicolas - 2022 - 3rd edition

"It is a fairly complete introduction accessible to advanced undergraduates; Also covers more advanced aspects of interest rate modeling; Includes many graphs and code illustrating the modeling of interest rates; Each chapter is accompanied with exercises and their complete solutions."