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Application of the Heath-Platen estimator in the Fong-Vasicek short rate model

Coskun, Sema; Korn, Ralf; Desmettre, Sascha - In: The journal of computational finance 23 (2019) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012064963

Moment approximations of displaced forward-LIBOR rates with application to swaptions

Van Appel, Jacques; McWalter, Thomas A. - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10012496904

Value-at-risk estimation with stochastic interest rate models for option-bond portfolios

Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20

Persistent link: https://www.econbiz.de/10011807256

Arbitrage-Free Rate Interpolation Scheme for Libor Market Model with Smooth Volatility Term Structure

Werpachowski, Roman - 2010

The Libor Market Model describes the evolution of a discrete subset of all interest rates quoted in the market. Generation of the complete yield curve from a simulated set of rates (the so-called "Libor rate interpolation") is one of the basic challenges which are faced by a practical user of...

Persistent link: https://www.econbiz.de/10013134893

Inference for interest rate models using Milstein’s approximation

Koulis, Theodoro; Thavaneswaran, Aera - In: Journal of mathematical finance 3 (2013) 1, pp. 110-118

Persistent link: https://www.econbiz.de/10010240817

Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels

Gospodinov, Nikolaj; Hirukawa, Masayuki - In: Journal of empirical finance 19 (2012) 4, pp. 595-609

Persistent link: https://www.econbiz.de/10009615659

Estimating LIBOR swaps spot-volatilities : the EpiVolatility model

Bianchi, Stephen W.; Wets, Roger J.-B.; Yang, Liming - In: Dynamic stochastic optimization : [this volume includes …, (pp. 99-114). 2004

Persistent link: https://www.econbiz.de/10003487959

A one-factor shifted squared Gaussian term structure model for interest rate modeling

Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 25 (2016) 3, pp. 36-45

Persistent link: https://www.econbiz.de/10011430618

The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model

Giribone, Pier Giuseppe; Ligato, Simone; Mulas, Martina - In: International journal of financial engineering 4 (2017) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10011673134

Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices

Li, Haitao - 2010

Based on a multivariate extension of the constrained locally polynomial estimator of Aït-Sahalia and Duarte (2003), we provide one of the first nonparametric estimates of probability densities of LIBOR rates under forward martingale measures and state-price densities (SPDs) implicit in interest...

Persistent link: https://www.econbiz.de/10013149933