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An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives

Chen, Rui - 2014

We propose a generalized arbitrage-free Nelson-Siegel model under the HJM framework. It features unspanned stochastic volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives, including European options, Caps and Swaptions are then...

Persistent link: https://www.econbiz.de/10013045728

On the pricing and hedging of long dated zero coupon bonds

Platen, Eckhard - 2006

Persistent link: https://www.econbiz.de/10003384030

Numerical inversion of Laplace transforms : a survey of techniques with applications to derivative pricing

Craddock, Mark; Heath, David C.; Platen, Eckhard - In: The journal of computational finance 4 (2000) 1, pp. 57-81

Persistent link: https://www.econbiz.de/10001528157

Option pricing under incompleteness and stochastic volatility

Hofmann, Norbert - 1992

Persistent link: https://www.econbiz.de/10000834044

Valuation of two-factor term structure models

Goldman, D.; Heath, D.; Kentwell, Glenn; Platen, Eckhard - In: Advances in futures and options research : a research annual 8 (1995), pp. 263-291

Persistent link: https://www.econbiz.de/10001211280

Valuation of FX barrier options under stochastic volatility

Heath, David C. - In: Financial engineering and the Japanese markets 3 (1996) 3, pp. 195-215

Persistent link: https://www.econbiz.de/10001215397

Benchmark pricing of credit derivatives under a standard market model

Craddock, Mark; Platen, Eckhard - 2001

Persistent link: https://www.econbiz.de/10001619286

A comparison of two quadratic approaches to hedging in incomplete markets

Heath, David C.; Platen, Eckhard; Schweizer, Martin - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 385-413

Persistent link: https://www.econbiz.de/10001620447

Pricing of index options under a minimal market model with lognormal scalling

Heath, David C.; Platen, Eckhard - 2003

Persistent link: https://www.econbiz.de/10002250887

A benchmark approach to quantitative finance

Platen, Eckhard; Heath, David C. - 2006 - Softcover reprint of th hardcover 1st edition 2006

Persistent link: https://www.econbiz.de/10003042060

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