The Term Structure of Simple Forward Rates with Jump Risk

DOI10.1111/1467-9965.00021zbMATH Open1087.91024OpenAlexW3121713455MaRDI QIDQ4812840FDOQ4812840

Authors: Paul Glasserman, S. G. Kou 

Publication date: 23 August 2004

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00021

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zbMATH Keywords

jumpsinterest ratesarbitragelibor market model

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cites Work

• A jump-diffusion model for option pricing
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• Title not available (Why is that?)
• LIBOR and swap market models and measures
• Post-'87 crash fears in the S\&P 500 futures option market
• Title not available (Why is that?)
• The Market Model of Interest Rate Dynamics
• Bond Market Structure in the Presence of Marked Point Processes
• Title not available (Why is that?)
• Hedging contingent claims on semimartingales

Cited In (41)

• A jump-diffusion model for the euro overnight rate
• A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
• Old and new approaches to LIBOR modeling
• The term structure of interest rates in the economic and monetary union
• Periodic point processes: theory and application
• A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
• Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
• An arithmetic pure-jump multi-curve interest rate model
• SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
• Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation
• Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
• THEORY AND CALIBRATION OF SWAP MARKET MODELS
• First passage times of a jump diffusion process
• Jump-adapted discretization schemes for Lévy-driven SDEs
• The affine LIBOR models
• Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
• A tractable market model with jumps for pricing short-term interest rate derivatives
• Fast swaption pricing under the market model with a square-root volatility process
• A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
• The Markov-switching jump diffusion LIBOR market model
• The Lévy Swap Market Model
• Numerical solution of jump-diffusion LIBOR market models
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Statistical arbitrage in jump-diffusion models with compound Poisson processes
• Consistency Problems for Jump‐diffusion Models
• FFT network for interest rate derivatives with Lévy processes
• A class of jump-diffusion bond pricing models within the HJM framework
• The LIBOR market model: a Markov-switching jump diffusion extension
• Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
• VASIČEK BEYOND THE NORMAL
• Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
• Multiple stochastic volatility extension of the Libor market model and its implementation
• A simple regime switching term structure model
• A jump-diffusion Libor model and its robust calibration
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
• SELF EXCITING THRESHOLD INTEREST RATES MODELS
• The valuation of contingent capital with catastrophe risks
• Real-world jump-diffusion term structure models
• Pricing cross-currency interest rate swaps under the Lévy market model
• Markov models for commodity futures: theory and practice

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