Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk

DOI10.1080/14697688.2019.1636124MaRDI QIDQ5215442zbMATH OpenOpenAlexWikidataFDO

Authors Vladimir Chorniy, V. Kotecha

Publication date 10 February 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2019.1636124

zbMATH Keywords

counterparty riskelasticityinflationinterest ratesmarket riskvolatility

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40) Statistical methods; risk measures (91G70)

Recommendations

• Interest rate models -- theory and practice. With smile, inflation and credit
• Monetary policy regimes and the term structure of interest rates
• Regulation risk
• Inflation, central bank and short-term interest rates: a new model with calibration to market data
• A stochastic monetary policy interest rate model

Cites work

• A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
• Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk

Cited in

(2)

• Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

This page was built for publication: Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5215442)