VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS

DOI10.1111/J.1467-9965.2006.00270.XMaRDI QIDQ5488974zbMATH OpenOpenAlexFDO

Authors Ernst Eberlein, Wolfgang Kluge

Publication date 25 September 2006

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2006.00270.x

zbMATH Keywords

change of probability measurebilateral Laplace transformterm-structure modelLévy processinterest rate digital optionrange note

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cites work

• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1466110 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Lévy term structure models: no-arbitrage and completeness
• MultiFactor Valuation of Floating Range Notes
• Term structure models driven by general Lévy processes
• The Defaultable Lévy Term Structure: Ratings and Restructuring
• Variance-optimal hedging for processes with stationary independent increments

Cited in

(17)

• Valuing early-exercise interest-rate options with multi-factor affine models
• A pure-jump mean-reverting short rate model
• Notes on exact and semi-exact Lévy models for the valuation of CDOs
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing
• Existence of Lévy term structure models
• MultiFactor Valuation of Floating Range Notes
• Analysis of Fourier transform valuation formulas and applications
• Rational term structure models with geometric Lévy martingales
• Valuing qualitative options with stochastic volatility
• Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
• Real-world forward rate dynamics with affine realizations
• A NOTE ON RISKY BOND VALUATION
• SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
• A multiple-curve HJM model of interbank risk
• A Unified View of LIBOR Models
• A finite-interval uniqueness theorem for bilateral Laplace transforms
• On the valuation of compositions in Lévy term structure models

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