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Pricing interest rate derivatives under volatility uncertainty
Holzermann, Julian - 2020
arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion …We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …
Persistent link: https://www.econbiz.de/10012175590
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Term structure modeling under volatility uncertainty : a forward rate model driven by G-Brownian Motion
Hölzermann, Julian; Lin, Qian - 2019
We show how to set up a forward rate model in the presence of volatility uncertainty by using the theory of G …
Persistent link: https://www.econbiz.de/10012009895
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Equity volatility as a determinant of future term-structure volatility
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: Journal of financial markets 25 (2015), pp. 33-51
Persistent link: https://www.econbiz.de/10011477263
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Economic Policy Uncertainty and the Yield Curve
Leippold, Markus; Matthys, Felix - 2022
Persistent link: https://www.econbiz.de/10013192097
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Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
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The term structure of systematic and idiosyncratic risk
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...
Persistent link: https://www.econbiz.de/10011751173
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Term structure of interest rates with short-run and long-run risks
Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295
interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …
Persistent link: https://www.econbiz.de/10014433708
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General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets
Ulrich, Maxim - 2008
Persistent link: https://www.econbiz.de/10003751650
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Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates
Ng, Leslie - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-33
Persistent link: https://www.econbiz.de/10010243617
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - 2014
The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task - not only it is necessary to model the future value of the derivative, but also the probability of...
Persistent link: https://www.econbiz.de/10010358352