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Explicit caplet implied volatilities for quadratic term-structure models

Lorig, Matthew; Suaysom, Natchanon - In: International journal of financial engineering 11 (2024) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014521323

An arithmetic pure-jump multi-curve interest rate model

Hess, Markus - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-30

Persistent link: https://www.econbiz.de/10012183228

Asset pricing under general collateralization

Mi, Yanhui - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-23

Persistent link: https://www.econbiz.de/10011777842

Approximate option pricing in the Lévy Libor model

Grbac, Zorana; Krief, David; Tankov, Peter - In: Advanced modelling in mathematical finance : in honour …, (pp. 453-476). 2016

Persistent link: https://www.econbiz.de/10011800391

Zur Marktwertberechnung von Zinscaps im Lichte der IFRS-hedge accounting-Vorschriften

Hochreiter, Gerhard - In: IRZ : Zeitschrift für internationale Rechnungslegung 9 (2014) 11, pp. 443-451

Persistent link: https://www.econbiz.de/10010426192

Simulation of nonlinear interest rates in quantum finance: Libor Market Model

Baaquie, Belal E.; Tang, Pan - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1287-1308

stochastic drift. The Libor options are studied using both the simulation method and the analytical formula. The caplet price of … simulation is compared with Black’s caplet formula which can be exactly derived from the LMM. The invariance of caplet price for …

Persistent link: https://www.econbiz.de/10010871886

The sensitivity analysis of propagator for path independent quantum finance model

Kim, Min Jae; Hwang, Dong Il; Lee, Sun Young; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 847-863

Quantum finance successfully implements the imperfectly correlated fluctuation of forward interest rates at different maturities, by replacing the Wiener process with a two-dimensional quantum field. Interest rate derivatives can be priced at a more realistic value under this new framework. The...

Persistent link: https://www.econbiz.de/10010588947

Empirical investigation of a field theory formula and Black's formula for the price of an interest-rate caplet

Baaquie, Belal E.; Liang, Cui - In: Physica A: Statistical Mechanics and its Applications 374 (2007) 1, pp. 331-348

The industry standard for pricing an interest-rate caplet is Black's formula. Another distinct price of the same caplet … compare the two caplet pricing formulae. Historical volatility and correlation of forward interest rates are used to generate … the field theory caplet price; another approach is to fit a parametric formula for the effective volatility using market …

Persistent link: https://www.econbiz.de/10010591470