On Gaussian HJM framework for Eurodollar futures

DOI10.1002/ASMB.845MaRDI QIDQ2862428zbMATH OpenOpenAlexFDO

Authors Balaji Raman, V. Pozdnyakov

Publication date 15 November 2013

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.845

zbMATH Keywords

Eurodollar futuresGaussian HJMmaximum likelihoodrealized volatilitytwo-stage estimation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

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• Pricing models of foreign bond futures options under Heath-Jarrow-Morton framework

Cites work

• A Gaussian approach for continuous time models of the short-term interest rate
• A two-stage realized volatility approach to estimation of diffusion processes with discrete data
• An equilibrium characterization of the term structure
• Approximate discrete-time schemes for statistics of diffusion processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Estimation for diffusion processes from discrete observation
• Martingale methods in financial modelling.
• Martingales and stochastic integrals in the theory of continuous trading
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Multi-factor term structure models
• On the martingale framework for futures prices.
• The Distribution of Realized Exchange Rate Volatility
• The pricing of options and corporate liabilities

Cited in

(6)

• Convexity bias in Eurodollar futures prices: A dimension-free HJM criterion
• Convexity bias in the pricing of Eurodollar swaps
• A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES
• Information Transmission Across Eurodollar Futures Markets
• Eurodollar futures pricing in log-normal interest rate models in discrete time
• A test of the beta model on Eurodollar futures options

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