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

DOI10.1023/A:1009654427422MaRDI QIDQ375483zbMATHFDO

Authors Claus Munk

Publication date 30 October 2013

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

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)

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Cited in

(20)

• The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
• Valuation of caps and swaptions under a stochastic string model
• Analysis of duration and convexity of coupon obligation
• Swaption pricing in affine and other models
• On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
• Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
• Calibration of one-factor and two-factor hull-white models using swaptions
• scientific article; zbMATH DE number 7569345 (Why is no real title available?)
• Duration, factor sensitivities, and interest rate Greeks
• Approximate pricing of swaptions in affine and quadratic models
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Sensitivity with respect to the yield curve: duration in a stochastic setting
• American options and callable bonds under stochastic interest rates and endogenous bankruptcy
• Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
• Pricing swaptions under multifactor Gaussian HJM models
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
• The fair value of guaranteed annuity options
• Deep calibration of financial models: turning theory into practice
• Fast swaption pricing in Gaussian term structure models

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