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

stochastic volatilitymarket dynamicsinterest rate derivativesinterest rate modellingLIBOR market models

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• 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
• 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)

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

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