Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models
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Publication:375376
DOI10.1007/BF01574151zbMATH Open1274.91450MaRDI QIDQ375376FDOQ375376
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Recommendations
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Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Title not available (Why is that?)
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Pricing Interest-Rate-Derivative Securities
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
- Changes of numéraire, changes of probability measure and option pricing
Cited In (8)
- The stochastic string model as a unifying theory of the term structure of interest rates
- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
- Valuation of caps and swaptions under a stochastic string model
- Shape factors and cross-sectional risk
- Efficient calibration of trinomial trees for one-factor short rate models
- A Gaussian Process of Yield Rates Calibrated with Strips
- INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL
- An approximation of caplet implied volatilities in Gaussian models
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