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

maximum likelihoodrealized volatilitytwo-stage estimationEurodollar futuresGaussian HJM

Mathematics Subject Classification ID

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

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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)

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

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