We show an analytical approach to sticky cap and sticky floor according to the Bond Market Model, a recently introduced version of the multi-factor Gaussian Heath-Jarrow-Morton model that is particularly easy to manage and calibrate. This solution allows having a comprehensive approach even for...

We find an analytical solution of the Vol-Bond according to the multi-factor Gaussian Heath-Jarrow-Morton model. We show how to calibrate the model with market data. This solution allows complete (and fast) control of this class of derivatives and of their sensitivities.

In this paper we address the problem of the valuation of Bermudan option derivatives in the framework of multi-factor interest rate models. We propose a solution in which the exercise decision entails a properly defined series expansion. The method allows for the fast computation of both a lower...