Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk

DOI10.1080/14697680903193371MaRDI QIDQ3577152zbMATHOpenAlexFDO

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

zbMATH Keywords

CMScredit derivativeaffine term structure modelconvexity adjustmentswaptionsurvival contingent measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A General Formula for Valuing Defaultable Securities
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
• A tractable yield-curve model that guarantees positive interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Financial Derivatives in Theory and Practice
• Interest rate models: an introduction
• LIBOR and swap market models and measures
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Stochastic duration and fast coupon bond option pricing in multi-factor models

Cited in

(6)

• Ai algorithms for fitting GARCH parameters to empirical financial data
• A \textit{meta}-measure of performance related to both investors and investments characteristics
• Asymptotic expansion formula of option price under multifactor Heston model
• 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
• Polynomial approximation of discounted moments

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