Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide a small-time asymptotics for the mass at zero under the uncorrelated stochastic-alpha-beta-rho (SABR) model by approximating the integrated variance with a moment-matched lognormal distribution. We improve the accuracy of the...

In this article, we consider replication pricing of derivatives that are partially collateralized by cash. We let the issuer replicate the derivatives payout using shares and cash, and let the buyer replicate the the loss given the counterparty default using credit default swaps. The costs of...

In this paper, we define the "inflation forward rates" based on arbitrage arguments and develop a dynamic model for the term structure of forward inflation rates. This new model can serve as a framework for specific no-arbitrage models, including the popular practitioners' market model and all...

In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as inflation swaptions with a formula similar to the Black's...

In this chapter, we define the “inflation forward rates” based on arbitrage arguments and develop a dynamic model for the term structure of inflation forward rates. This new model can serve as a framework for specific no-arbitrage models, including the popular practitioners’ market model...