The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
From MaRDI portal
Publication:5879356
DOI10.1080/1350486X.2022.2156900MaRDI QIDQ5879356
J. P. de Kort, J. H. Hoencamp, B. D. Kandhai
Publication date: 28 February 2023
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Unnamed Item
- Stochastic duration and fast coupon bond option pricing in multi-factor models
- Interest rate models -- theory and practice. With smile, inflation and credit
- Term-structure models. A graduate course
- Martingales and stochastic integrals in the theory of continuous trading
- LIBOR and swap market models and measures
- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- Squared Bessel processes and their applications to the square root interest rate model
- LIBOR market model with stochastic volatility
- Options on bonds: implied volatilities from affine short-rate dynamics
- EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
- PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
- Saddlepoint methods for option pricing
- Volatility skews and extensions of the Libor market model
- Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
- Accurate Vega Calculation for Bermudan Swaptions
- Changes of numéraire, changes of probability measure and option pricing
- A Unified Approach to xVA with CSA Discounting and Initial Margin
- Pricing Interest-Rate-Derivative Securities
This page was built for publication: The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
