BOND MARKET MODEL

DOI10.1142/S0219024906003640MaRDI QIDQ5483506zbMATH OpenOpenAlexFDO

Authors Roberto Baviera

Publication date 14 August 2006

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

Full work available at URL https://doi.org/10.1142/s0219024906003640

zbMATH Keywords

bond optionscaps/floorsHJM frameworkswaptionsterm structure model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

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• The Market Model of Interest Rate Dynamics
• MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE
• Towards a central interest rate model
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Cites work

• A simplified exposition of the health, Jarrow and Morton model
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• LIBOR and swap market models and measures
• The Market Model of Interest Rate Dynamics

Cited in

(10)

• Bond options and bond portfolio insurance
• Pricing bond options in emerging markets: a case study
• A mathematical model for the bond market.
• Mathematical model of investment in bonds
• A note on dual-curve construction: Mr. Crab's bootstrap
• CMS, CMS spreads and similar options in the multi-factor HJM framework
• A simple solution for sticky cap and sticky floor
• On the structure of Gaussian pricing models and Gaussian Markov functional models
• A perturbative approach to Bermudan options pricing with applications
• The Bond Market'sq^*

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