FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES

DOI10.1111/J.1467-9965.1995.TB00108.XMaRDI QIDQ3126232zbMATH OpenOpenAlexFDO

Authors Antoine Frachot

Publication date 23 March 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1995.tb00108.x

zbMATH Keywords

exchange rate processterm structure dynamicstwo-country economy

Mathematics Subject Classification ID

Recommendations

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• Pricing foreign currency options with stochastic volatility
• Locally complete markets, exchange rates and currency options
• The Market Model of Interest Rate Dynamics

Cites work

• A theory of the term structure of interest rates
• A yield-factor model of interest rates.
• ARCH modeling in finance. A review of the theory and empirical evidence
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading

Cited in

(18)

• Accurate value-at-risk forecasting based on the normal-GARCH model
• No arbitrage between economies and correlation risk management
• Moment generating function approach to pricing interest rate and foreign exchange rate claims.
• Locally complete markets, exchange rates and currency options
• Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
• Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates
• On the role of state variables in interest rates models
• Bilinear term structure model
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Hedging quantos, differential swaps and ratios
• On finite dimensional realizations of two-country interest rate models
• Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias
• Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility

This page was built for publication: FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3126232)