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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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Equilibrium interest rate models for the Indian Government security market
Chaudhuri, Sunrita; Pandey, Alok - In: International Journal of Financial Markets and … 10 (2024) 1, pp. 70-86
Persistent link: https://www.econbiz.de/10015064463
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CMS spread options in quadratic Gaussian model
Rakhmonov, Parviz; Rakhmonov, Firuz - In: Review of derivatives research 25 (2022) 3, pp. 283-291
Persistent link: https://www.econbiz.de/10013457623
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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
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volatility index
Asensio, Ivan Oscar - In: Quantitative finance 20 (2020) 4, pp. 619-638
Persistent link: https://www.econbiz.de/10012194910
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Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
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A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
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Consistent re-calibration in yield curve modeling : an example
Wüthrich, Mario V. - 2015
changes. We discuss how parameters need to be updated with changing market conditions such that the re-calibration meets the … premise of being free of arbitrage. We demonstrate this (consistent) re-calibration with the Hull-White extended discrete time …
Persistent link: https://www.econbiz.de/10011412102
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Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
Han, Yuecai; Zhang, Fengtong - In: Review of derivatives research 27 (2024) 1, pp. 37-53
Persistent link: https://www.econbiz.de/10015133907