Similar Search Results - EconBiz

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

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

A Dual-Curve Short Rate Model with Multi-Factor Stochastic Volatility : I. Asymptotic Analysis

Lesniewski, Andrew - 2016

We present a stochastic-volatility, short rate term structure model, which extends the classic multi-factor Hull …-White model. This model is designed to fit the swaption implied volatility cube and to incorporate the two-curve modeling paradigm …. The model exhibits non-Gaussian forward swap rates whose distributions are parameterized across the dimensions of the …

Persistent link: https://www.econbiz.de/10013004161

The impact of stochastic volatility on initial margin and MVA for interest rate derivatives

Hoencamp, J. H.; Kort, J. P. de; Kandhai, B. D. - In: Applied mathematical finance 29 (2022) 2, pp. 141-179

Persistent link: https://www.econbiz.de/10013554796

Pricing and hedging volatility smile under multifactor interest rate models

Kuo, I.-doun - In: Review of quantitative finance and accounting 36 (2011) 1, pp. 83-104

Persistent link: https://www.econbiz.de/10009271374

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

Pricing of long-dated commodity derivatives : do stochastic interest rates matter?

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - In: Journal of banking & finance 95 (2018), pp. 148-166

Persistent link: https://www.econbiz.de/10011966734

Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2015

Persistent link: https://www.econbiz.de/10011777512

Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016

Persistent link: https://www.econbiz.de/10011777909

Pricing virtual currency-linked derivatives with time-inhomogeneity

Lian, Yu-Min; Chen, Jun-Home - In: International review of economics & finance : IREF 71 (2021), pp. 424-439

Persistent link: https://www.econbiz.de/10012627797

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