This paper studies empirical issues of one-factor yield curve models. We focus on the models by Ho

This paper studies empirical issues of one-factor yield curve models. We focus on the models by Hoand Lee (1986), Hull and White (1990) and Moraleda and Vorst (1996). To be consistent in thecomparison of the models, we derive them all within the Ritkchen and Sankarasubramanian (1995)framework,...

Life insurance products have profit sharing features in combination with guarantees. These so-called embedded options are often dependent on or approximated by forward swap rates. In practice, these kinds of options are mostly valued by Monte Carlo simulations. However, for risk management...

We introduce a general class of interest rate models in which the value of pure discount bonds can be expressed as a functional of some (low-dimensional) Markov process. At the abstract level this class includes all current models of practical importance. By specifying these models in...

In this paper we address the pricing of double barrier options. To derive the density function of the first-hit times of the barriers, we analytically invert the Laplace transform by contour integration. With these barrier densities, we derive pricing formulÖfor new types of barrier options:...

This paper shows that the forward rates process discretized by a single time step together with a separability assumption on the volatility function allows for representation by a low-dimensional Markov process. This in turn leads to e±cient pricing by for example finite differences. We then...