Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk

DOI10.1080/14697680903193371zbMath1192.91186OpenAlexW1993354403MaRDI QIDQ3577152

Toshiaki Watanabe, Keiichi Tanaka, Takeshi Yamada

Publication date: 5 August 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903193371

zbMATH Keywords

CMScredit derivativeaffine term structure modelconvexity adjustmentswaptionsurvival contingent measure

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (5)

Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order ⋮ A \textit{meta}-measure of performance related to both investors and investments characteristics ⋮ Ai algorithms for fitting GARCH parameters to empirical financial data ⋮ Asymptotic expansion formula of option price under multifactor Heston model ⋮ Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

Cites Work

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• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Financial Derivatives in Theory and Practice
• A General Formula for Valuing Defaultable Securities
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models

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