FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES

DOI10.1111/J.1467-9965.1995.TB00108.XzbMATH Open0866.90014OpenAlexW2056653211MaRDI QIDQ3126232FDOQ3126232

Authors: Antoine Frachot 

Publication date: 23 March 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00108.x

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zbMATH Keywords

two-country economyterm structure dynamicsexchange rate process

Mathematics Subject Classification ID

Cites Work

• A theory of the term structure of interest rates
• ARCH modeling in finance. A review of the theory and empirical evidence
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A yield-factor model of interest rates.
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES

Cited In (15)

• Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach
• Bilinear term structure model
• On the role of state variables in interest rates models
• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• Locally complete markets, exchange rates and currency options
• Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
• Moment generating function approach to pricing interest rate and foreign exchange rate claims.
• On finite dimensional realizations of two-country interest rate models
• Hedging quantos, differential swaps and ratios
• Accurate value-at-risk forecasting based on the normal-GARCH model
• Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
• Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES

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