Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach

DOI10.1023/A:1009646430215zbMATH Open1274.91434OpenAlexW3123478676MaRDI QIDQ375469FDOQ375469

Authors: João P. Nunes, Les Clewlow, Stewart D. Hodges 

Publication date: 30 October 2013

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

Full work available at URL: https://doi.org/10.1023/a:1009646430215

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zbMATH Keywords

stochastic volatilityArrow-Debreu pricesbondsEuropean path-independent interest rate optionsexponential-affine modelsinterest rate futures

Mathematics Subject Classification ID

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

Cited In (2)

• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Pricing swaptions under multifactor Gaussian HJM models

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