CUTTING EDGE - Interest rates - General short-rate analytics - The authors present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions with respect to low volatility and contains a low-dimensional integration. The model in hand assumes the short rate is an arbitrary function of a ...
| Year of publication: |
2011
|
|---|---|
| Authors: | Antonov, Alexandre ; Spector, Michael |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 24.2011, 5, p. 66-72
|