Stochastic duration and fast coupon bond option pricing in multi-factor models

DOI10.1023/A:1009654427422zbMATH Open1274.91431MaRDI QIDQ375483FDOQ375483

Authors: Claus Munk 

Publication date: 30 October 2013

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

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zbMATH Keywords

term structure of interest ratescoupon bond option pricingmulti-factor modelsstochastic durationswaption pricing

Mathematics Subject Classification ID

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

Cited In (20)

• Calibration of one-factor and two-factor hull-white models using swaptions
• Approximate pricing of swaptions in affine and quadratic models
• Title not available (Why is that?)
• Sensitivity with respect to the yield curve: duration in a stochastic setting
• Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
• The fair value of guaranteed annuity options
• On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
• The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
• Valuation of caps and swaptions under a stochastic string model
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Swaption pricing in affine and other models
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Pricing swaptions under multifactor Gaussian HJM models
• Deep calibration of financial models: turning theory into practice
• Fast swaption pricing in Gaussian term structure models
• VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Analysis of duration and convexity of coupon obligation
• Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
• American options and callable bonds under stochastic interest rates and endogenous bankruptcy
• Duration, factor sensitivities, and interest rate Greeks

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