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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

American Options in Levy Models With Stochastic Interest Rate of CIR-Type

Boyarchenko, Svetlana; Levendorskii, Sergei - 2007

A general numerical method for pricing American options in regime switching jump diffusion models of stock dynamics with stochastic interest rates and/or volatility is developed. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest...

Persistent link: https://www.econbiz.de/10014222457

Term spreads of implied volatility smirk and variance risk premium

Guo, Wei; Ruan, Xinfeng; Gehricke, Sebastian A.; Zhang, … - In: The journal of futures markets 43 (2023) 7, pp. 829-857

Persistent link: https://www.econbiz.de/10014293246

Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure

He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 7, pp. 951-967

Persistent link: https://www.econbiz.de/10014293271

Effective Markovian projection : application to CMS spread options and mid-curve swaptions

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 22 (2022) 6, pp. 1169-1192

Persistent link: https://www.econbiz.de/10013367891

Effective Markovian Projection : Application to CMS Spread Options and Mid-Curve Swaptions

Felpel, Mike; Kienitz, Joerg; McWalter, Thomas - 2021

Pricing of interest rate derivatives, such as CMS spread or mid-curve options, depends on modelling the underlying single rates. For flexibility and realism, these rates are often described in the framework of stochastic volatility models. In this paper, we allow rates to be modelled within a...

Persistent link: https://www.econbiz.de/10013236488

Jump and volatility risk in the cross-section of corporate bond returns

Chen, Xi; Wang, Junbo; Wu, Chunchi - In: Journal of financial markets 60 (2022), pp. 1-29

Persistent link: https://www.econbiz.de/10013397876

Pricing a Callable Leveraged Constant Maturity Swap Spread Note

Chertok, Daniel L. - 2012

A callable leveraged constant maturity swap (CMS) spread note allows the holder to benefit from future changes in the spread between two swap interest rates. The issues retains the right to call the note at pre-specified times in the future. The note is priced via Monte Carlo simulation using...

Persistent link: https://www.econbiz.de/10013098211

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

Persistent link: https://www.econbiz.de/10011531096

Analysing and interpreting the yield curve

Choudhry, Moorad - 2019 - Second edition

"Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants....

Persistent link: https://www.econbiz.de/10011988985