Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
DOI10.1080/14697680903193371zbMATH Open1192.91186OpenAlexW1993354403MaRDI QIDQ3577152FDOQ3577152
Authors: Keiichi Tanaka, Takeshi Yamada, Toshiaki Watanabe 
Publication date: 5 August 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903193371
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CMScredit derivativeaffine term structure modelconvexity adjustmentswaptionsurvival contingent measure
Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- LIBOR and swap market models and measures
- Interest rate models: an introduction
- A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
- A General Formula for Valuing Defaultable Securities
- Financial Derivatives in Theory and Practice
- PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
- A tractable yield-curve model that guarantees positive interest rates
- Stochastic duration and fast coupon bond option pricing in multi-factor models
- PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
Cited In (6)
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
- Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
- A \textit{meta}-measure of performance related to both investors and investments characteristics
- Asymptotic expansion formula of option price under multifactor Heston model
- Ai algorithms for fitting GARCH parameters to empirical financial data
- Polynomial approximation of discounted moments
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