Pricing interest rate derivatives under monetary changes

DOI10.1142/S0219024918500371MaRDI QIDQ4686504zbMATH OpenOpenAlexWikidataFDO

Authors Alan De Genaro, Marco Avellaneda

Publication date 10 October 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500371

zbMATH Keywords

deterministic timed jumpsinterest rate derivativesovernight interest rate

Mathematics Subject Classification ID

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

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Cites work

• A theory of the term structure of interest rates
• Affine processes and applications in finance
• An equilibrium characterization of the term structure
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance.
• Modeling the term structure of interest rates: a review of the literature
• Option pricing when underlying stock returns are discontinuous
• Point processes and queues. Martingale dynamics
• Term structure movements implicit in Asian option prices
• Three ways to solve for bond prices in the Vasiček model
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

Cited in

(2)

• A tractable interest rate model with explicit monetary policy rates
• In memoriam: Marco Avellaneda (1955–2022)

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