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Monte Carlo Calibration Method of Stochastic Volatility Model with Stochastic Interest Rate

Xu, Mingyang - 2019

Monte Carlo calibration method for stochastic volatility models with stochastic interest rate, which reduces simulation …

Persistent link: https://www.econbiz.de/10012868202

A practical Monte Carlo method for pricing equity‑linked securities with time‑dependent volatility and interest rate

Kim, Sangkwon; Lyu, Jisang; Lee, Wonjin; Park, Eunchae; … - In: Computational economics 63 (2024) 5, pp. 2069-2086

Persistent link: https://www.econbiz.de/10014550869

Efficient Quasi-Bayesian estimation of affine pption pricing models using risk-neutral cumulants

Brignone, Riccardo; Gonzato, Luca; Lütkebohmert, Eva - In: Journal of banking & finance 148 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014248278

Interest rate derivative markets in Hungary between 2009 and 2012 in light of the K14 dataset

Kocsis, Zalán; Csávás, Csaba; Mák, István; Pulai, … - 2013

MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...

Persistent link: https://www.econbiz.de/10010222120

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Kazdal, Abdullah; Korkmaz, Halil İbrahim; … - 2020

Persistent link: https://www.econbiz.de/10012939794

On the term structure of default premia in the swap and LIBOR markets

Collin-Dufresne, Pierre; Solnik, Bruno - 1998

Persistent link: https://www.econbiz.de/10000996176

Bewertung und hedging von swaptions

Akume, Daniel; Luderer, Bernd; Weber, Gerhard-Wilhelm - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 32 (2003) 12, pp. 694-699

Persistent link: https://www.econbiz.de/10001843860

Pricing and Hedging Variance Swaps on a Swap Rate

Rheinlaender, Deimante - 2013

We solve the pricing and hedging problem for the generic variance swap on a swap rate. The solution is not limited to a … specifc swap rate model approximation. In order to address the absence of arbitrage constraints and to preserve the model … complexity, we develop an alternative approach to swap rate approximations …

Persistent link: https://www.econbiz.de/10013087764

Efficient FX Volatility Swap Pricing in LSV Models

Ben Salah, Hichem - 2018

We study one dimensional PDE pricing techniques for volatility swaps that are able to closely replicate Local Stochastic Volatility Monte Carlo prices also in the context of fairly oscillating volatility term structure, while sensibly improving the computational performance. Our analysis is...

Persistent link: https://www.econbiz.de/10012926301

Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities

Sviščuk, Anatolij; Franco, Sebastian - In: Risks : open access journal 11 (2023) 9, pp. 1-22

calculate averaged swap prices for financial markets with semi-Markov volatilities? This question has not been considered in the …

Persistent link: https://www.econbiz.de/10014375249