Markov interest rate models

DOI10.1080/13504869950079275MaRDI QIDQ4541579zbMATH OpenOpenAlexFDO

Authors Patrick S. Hagan, Diana E. Woodward

Publication date 5 September 2002

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

Full work available at URL https://doi.org/10.1080/13504869950079275

zbMATH Keywords

g-m modelsmarked pricesMarkovian interest rate modelsstate variableswaption prices

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A theory of the term structure of interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Pricing interest-rate-derivative securities
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Cited in

(34)

• On the quasi Gaussian interest rate models
• A semi-Markov modulated interest rate model
• Implementation and performance of various stochastic models for interest rate derivatives
• Markov-functional interest rate models.
• scientific article; zbMATH DE number 1724302 (Why is no real title available?)
• On cash settled IRR-swaptions and Markov functional modeling
• Adjustable and fixed interest rates mortgage markets modelling
• Pricing claims under GARCH-level dependent interest rate processes
• On dynamic forward rate modeling and principal component analysis
• Interest Guarantees in Banking
• SELF EXCITING THRESHOLD INTEREST RATES MODELS
• MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE
• scientific article; zbMATH DE number 3978238 (Why is no real title available?)
• A heat kernel approach to interest rate models
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• The Market Model of Interest Rate Dynamics
• scientific article; zbMATH DE number 1996537 (Why is no real title available?)
• Equivalent Black volatilities
• The potential approach in practice
• An interest rate model with a Markovian mean reverting level
• Analytic pricing solutions to term structure derivatives in a Markov chain market
• A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
• Probability Properties of Interest Rate Models
• xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT
• Phase transition in a log-normal Markov functional model
• Coherent chaos interest-rate models
• Pricing interest-rate-derivative securities
• A binomial approximation for two-state Markovian HJM models
• ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS
• scientific article; zbMATH DE number 969940 (Why is no real title available?)
• Markov-functional interest rate models
• Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
• Small dimension PDE for discrete Asian options

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