A tractable market model with jumps for pricing short-term interest rate derivatives

DOI10.1088/1469-7688/1/2/309MaRDI QIDQ4646485zbMATH OpenOpenAlexFDO

Authors Yann Samuelides, Erich Nahum

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/1/2/309

zbMATH Keywords

jumpsinterest rate derivative pricingtractable market model

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

(2)

• Pricing interest rate derivatives under monetary changes
• Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates

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