On Gaussian HJM framework for Eurodollar futures

DOI10.1002/ASMB.845zbMATH Open1275.91136OpenAlexW1982807975MaRDI QIDQ2862428FDOQ2862428

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

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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)

Cites Work

• The pricing of options and corporate liabilities
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• An equilibrium characterization of the term structure
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• Approximate discrete-time schemes for statistics of diffusion processes
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Martingales and stochastic integrals in the theory of continuous trading
• Martingale methods in financial modelling.
• A two-stage realized volatility approach to estimation of diffusion processes with discrete data
• Multi-factor term structure models
• A Gaussian approach for continuous time models of the short-term interest rate
• On the martingale framework for futures prices.

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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