A general Gaussian interest rate model consistent with the current term structure

DOI10.5402/2012/673607zbMath1266.91112OpenAlexW2041264023WikidataQ58692044 ScholiaQ58692044MaRDI QIDQ1952680

Marco Di Francesco

Publication date: 3 June 2013

Published in: ISRN Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5402/2012/673607

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

• MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Abstraction for Concurrent Objects
• Changes of numéraire, changes of probability measure and option pricing
• Pricing Interest-Rate-Derivative Securities
• THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION

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