A unified market model for swaptions and constant maturity swaps

DOI10.1142/S0219024921500266MaRDI QIDQ5010079zbMATH OpenOpenAlexFDO

Authors Chyng Wen Tee, Jeroen Kerkhof

Publication date 24 August 2021

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

Full work available at URL https://doi.org/10.1142/s0219024921500266

zbMATH Keywords

constant maturity swapsderivative valuationfixed income marketinterest rate marketinterest rate modelsstochastic volatility modelsswaptions

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

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Displaced diffusion as an approximation of the constant elasticity of variance
• Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
• scientific article; zbMATH DE number 1454625 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• LIBOR and swap market models and measures
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
• On cash settled IRR-swaptions and Markov functional modeling
• Pricing interest-rate-derivative securities
• The Market Model of Interest Rate Dynamics
• Towards a theory of volatility trading

Cited in

(2)

• On cash settled IRR-swaptions and Markov functional modeling
• CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL

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