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Riding the swaption curve
Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
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Calibration of one-factor and two-factor Hull-White models using swaptions
Russo, Vincenzo; Torri, Gabriele - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 275-295
Persistent link: https://www.econbiz.de/10011993481
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Nonparametric interest rate cap pricing : implications for the "unspanned stochastic volatility" puzzle
Wu, Tao L. - In: Asia-Pacific journal of financial studies 40 (2011) 4, pp. 577-598
Persistent link: https://www.econbiz.de/10009388552
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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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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
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Options on bonds : implied volatilities from affine short-rate dynamics
Lorig, Matthew; Suaysom, Natchanon - In: Annals of finance 18 (2022) 2, pp. 183-216
Persistent link: https://www.econbiz.de/10013278980
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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Information content and market liquidity in the fixed income market : evidence from the swaption market
Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10014574914
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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana - In: European journal of operational research : EJOR 263 (2017) 2, pp. 707-718
Persistent link: https://www.econbiz.de/10011794020