Stochastic volatility for interest rate derivatives

DOI10.1080/14697688.2012.757848zbMath1294.91172OpenAlexW3125090364MaRDI QIDQ2879042

Linus Kaisajuntti, Joanne 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

stochastic volatilitymarket dynamicsinterest rate derivativesinterest rate modellingLIBOR market models

Mathematics Subject Classification ID

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

Related Items (2)

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

Cites Work

• Unnamed Item
• Interest rate models -- theory and practice. With smile, inflation and credit
• Convergence of At-The-Money Implied Volatilities to the Spot Volatility
• Stochastic Volatility Model with Time‐dependent Skew
• On the Approximation of the SABR Model: A Probabilistic Approach
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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