Stochastic volatility for interest rate derivatives
DOI10.1080/14697688.2012.757848zbMATH Open1294.91172OpenAlexW3125090364MaRDI QIDQ2879042FDOQ2879042
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
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Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Title not available (Why is that?)
- Interest rate models -- theory and practice. With smile, inflation and credit
- Stochastic Volatility Model with Time‐dependent Skew
- On the Approximation of the SABR Model: A Probabilistic Approach
- Convergence of At-The-Money Implied Volatilities to the Spot Volatility
Cited In (14)
- Stochastic Volatility Corrections for Interest Rate Derivatives
- Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model
- TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES
- Default risk in interest rate derivatives with stochastic volatility
- Title not available (Why is that?)
- Stochastic Interest Rates
- FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH
- Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing
- Processes with volatility‐induced stationarity: an application for interest rates
- Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
- On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach
- A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY
- Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
- An extension of Heston's SV model to stochastic interest rates
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