-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding … equivalence of the European and the American versions of bond power exchange options are provided and the put-call parity relation … for European bond power exchange options is established. Finally, we consider several applications of our results …

arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion …We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …

This study compares continuous-time stochastic interest rate and stochastic volatility models of interest rate … short rate, bond prices, as well as interest rate derivatives. We extend CKLS (1992) to a broader class of single factor … neural network approach (MLP-ANN), in pricing and hedging discount bonds. We find that while the MLP-ANN can better fit bond …

In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one …

stability with relatively large values of bond tenor even when inputting both relatively large values of the annualised short … short-rate standard deviation, σ, and bond tenor, T, such that σ 2T 3 > 3.6 and σ 2T 3 > 17.1 respectively, given sensible … bond market tolerance requirements for the model’s accuracy. In what follows, we show how the practitioner must modify …

Whereas the callable-bond market used to emphasize primarily public debt - Government Agencies, and both investment …. S. bond market, and to relate those implied volatilities to measures of time to call, time from call to maturity …

. In practice, re-calibration of the model to the prevailing market conditions leads to model parameters that change over … consistent re-calibration (CRC) approach, we construct models as concatenations of yield curve increments of Hull-White extended …

volatility cube: underlying tenor, option strike and option expiration. To facilitate rapid model calibration, we establish …We present a stochastic-volatility, short rate term structure model, which extends the classic multi-factor Hull …-White model. This model is designed to fit the swaption implied volatility cube and to incorporate the two-curve modeling paradigm …

implied volatility index level and term structure, we show the important role of the term structure in determining future …

A Markovian Projection is investigated for the Local Stochastic Volatility Libor Market Model. An approximation based …