A simple class of square-root interest-rate models

DOI10.1080/13504869500000004MaRDI QIDQ4994398zbMATH OpenOpenAlexFDO

Authors Farshid Jamshidian

Publication date 18 June 2021

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504869500000004

zbMATH Keywords

bond optionchi-squared distributionRiccati equationsquare-root processvolatility curveyield curve

Mathematics Subject Classification ID

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

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Cites work

• A theory of the term structure of interest rates
• A yield-factor model of interest rates.
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• Two singular diffusion problems

Cited in

(12)

• A dynamic programming approach for pricing options embedded in bonds
• An analytically tractable interest rate model with humped volatility
• Consistent fitting of one-factor models to interest rate data.
• The Riccati equation in mathematical finance.
• Calibration of one-factor and two-factor hull-white models using swaptions
• On the distribution of extended CIR model
• Square root identities for harvested Beverton-Holt models
• A cyclical square-root model for the term structure of interest rates
• A tractable interest rate model with explicit monetary policy rates
• A square root interest rate model fitting discrete initial term structure data
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
• Valuation and hedging of life insurance liabilities with systematic mortality risk

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