A tractable yield-curve model that guarantees positive interest rates

DOI10.1007/BF01531145MaRDI QIDQ375261zbMATH OpenOpenAlexFDO

Authors Antoon Pelsser

Publication date 29 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01531145

zbMATH Keywords

contingent claimsfundamental solutionsinterest rate optionsyield-curve models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• A theory of the term structure of interest rates
• A tractable yield-curve model that guarantees positive interest rates
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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• Martingales and stochastic integrals in the theory of continuous trading
• Option and Futures Evaluation With Deterministic Volatilities¹
• Pricing interest-rate-derivative securities
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• The Market Model of Interest Rate Dynamics
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Cited in

(7)

• A multi-quality model of interest rates
• Calibration of one-factor and two-factor hull-white models using swaptions
• Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
• Decreasing Yield Curves in a Model with an Unknown Constant Growth Rate
• Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
• A tractable yield-curve model that guarantees positive interest rates
• A collateralized loan's loss under a quadratic Gaussian default intensity process

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