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Bond pricing under Knightian uncertainty : a short rate model with drift and volatility uncertainty
Hölzermann, Julian - 2018
It is shown how to construct an arbitrage-free short rate model under uncertainty about the drift and the volatility …
Persistent link: https://www.econbiz.de/10011891263
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Term structure modeling under volatility uncertainty
Hölzermann, Julian - In: Mathematics and financial economics 16 (2022) 2, pp. 317-343
Persistent link: https://www.econbiz.de/10013167938
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Pricing interest rate derivatives under volatility uncertainty
Holzermann, Julian - 2020
We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … traditional models with the highest and lowest possible volatility. Due to these pricing formulas, the model naturally exhibits …
Persistent link: https://www.econbiz.de/10012175590
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The Hull-White model under volatility uncertainty
Hölzermann, Julian - In: Quantitative finance 21 (2021) 11, pp. 1921-1933
Persistent link: https://www.econbiz.de/10012696796
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Extended Libor market models with affine and quadratic volatility
Zühlsdorff, Christian - 2002
Persistent link: https://www.econbiz.de/10001667067
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Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices
Li, Haitao - 2010
the slope and volatility of LIBOR rates, and mortgage markets activities have strong impacts on the shape of the forward …, respectively. Our results provide nonparametric evidence of unspanned stochastic volatility and suggest that the unspanned factors …
Persistent link: https://www.econbiz.de/10013149933
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Extended Libor market models with affine and quadratic volatility
Zühlsdorff, Christian - 2002
dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …
Persistent link: https://www.econbiz.de/10011538865
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A term-structure model for dividends and interest rates
Filipović, Damir; Willems, Sander - 2017
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and...
Persistent link: https://www.econbiz.de/10011874740
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Pricing American Interest Rate Options Under the Jump-Extended Constant-Elasticity-of-Variance Short Rate Models
Beliaeva, Natalia - 2020
This paper demonstrates how to value American interest rate options under the jump extended constant-elasticity-of-variance (CEV) models. We consider both exponential jumps (see Duffie, Pan, and Singleton (2000)) and lognormal jumps (see Johannes (2004)) in the short rate process. We show how to...
Persistent link: https://www.econbiz.de/10012857481
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Minimal Variance Hedging in Multi-Curve Interest Rate Modeling
Hess, Markus - 2019
We consider minimal variance hedging in a pure-jump multi-curve interest rate model. In the first part, we derive arithmetic multi-factor martingale representations for the spread, OIS and LIBOR rate which are bounded from below by a real-valued constant. In the second part, we investigate...
Persistent link: https://www.econbiz.de/10012902260