Discrete Time Term Structure Theory and Consistent Recalibration Models

DOI10.1137/15M1007434zbMath1407.91256arXiv1409.1830OpenAlexW23576800MaRDI QIDQ4607042

Josef Teichmann, Anja Richter

Publication date: 12 March 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.1830

zbMATH Keywords

calibrationvolatility surfaceaffine processfinite dimensional realizationforward characteristic process

Mathematics Subject Classification ID

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

Related Items (4)

A noisy principal component analysis for forward rate curves ⋮ Noncausal affine processes with applications to derivative pricing ⋮ Affine processes beyond stochastic continuity ⋮ Simulation of Implied Volatility Surfaces via Tangent Lévy Models

Cites Work

• Regularity of affine processes on general state spaces
• Fourier transform methods for pathwise covariance estimation in the presence of jumps
• Affine processes and applications in finance
• Tangent Lévy market models
• Arbitrage-free market models for option prices: the multi-strike case
• Local volatility dynamic models
• Time-inhomogeneous affine processes
• On a Heath-Jarrow-Morton approach for stock options
• On the geometry of the term structure of interest rates
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A market model for stochastic implied volatility
• Stochastic finance. An introduction in discrete time

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