Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model

We consider a two-country multi-factor quadratic Gaussian model and provide efficient formulas for the price of default free bonds and the calibration of the model to the default free discount term structure. We also provide approximations for the price of default free swaptions in such a model indicating the limitation of using an approach based on replacing certain martingales by their expectation.

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Year of publication:	2007-05-01
Authors:	Assefa, Samson
Institutions:	Finance Discipline Group, Business School

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 197 7 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984575