Stochastic volatility for interest rate derivatives

DOI10.1080/14697688.2012.757848MaRDI QIDQ2879042zbMATH OpenOpenAlexFDO

Authors Linus Kaisajuntti, Joanne E. Kennedy

Publication date 5 September 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.757848

zbMATH Keywords

interest rate derivativesinterest rate modellingLIBOR market modelsmarket dynamicsstochastic volatility

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Convergence of At-The-Money Implied Volatilities to the Spot Volatility
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• On the approximation of the SABR model: a probabilistic approach
• Stochastic Volatility Model with Time‐dependent Skew

Cited in

(16)

• Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model
• An extension of Heston's SV model to stochastic interest rates
• The use of statistical tests to calibrate the normal SABR model
• Default risk in interest rate derivatives with stochastic volatility
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
• scientific article; zbMATH DE number 5926129 (Why is no real title available?)
• Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing
• TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
• A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY
• On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach
• Stochastic Volatility Corrections for Interest Rate Derivatives
• On the variance and skewness of the swap rate in a stochastic volatility interest rate model
• Stochastic Interest Rates
• Processes with volatility‐induced stationarity: an application for interest rates
• FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH

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