ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL

DOI10.1142/S0219024910006091zbMath1203.91287MaRDI QIDQ3067762

S. van Weeren, Bin Chen, Cornelis W. Oosterlee

Publication date: 13 January 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic Taylor expansionSABR modelconvexity correction

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Related Items (1)

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

Cites Work

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• Interest rate models -- theory and practice. With smile, inflation and credit
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Multiple Wiener integral
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
• Stochastic Volatility Model with Time‐dependent Skew

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