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  • Search: subject:"deterministic jump times"
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COS method 1 Central bank 1 Derivat 1 Derivative 1 Geldpolitik 1 Interest rate 1 Interest rate derivative 1 Interest rate policy 1 Monetary policy 1 Option pricing theory 1 Optionspreistheorie 1 Volatility 1 Volatilität 1 Yield curve 1 Zentralbank 1 Zins 1 Zinsderivat 1 Zinspolitik 1 Zinsstruktur 1 affine jump-diffusion 1 central bank 1 deterministic jump times 1 interest ratederivatives 1 interest rates 1 monetary policy 1 overnight interest rate option 1
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Baczynski, Jack 1 Silva, Allan Jonathan da 1
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Discretely distributed scheduled jumps and interest rate derivatives : pricing in the context of central bank actions
Silva, Allan Jonathan da; Baczynski, Jack - In: Economies : open access journal 12 (2024) 3, pp. 1-29
Interest rate dynamics are influenced by various economic factors, and central bank meetings play a crucial role concerning this subject matter. This study introduces a novel approach to modeling interest rates, focusing on the impact of central banks' scheduled interventions and their...
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