Asymmetric short-rate model without lower bound

DOI10.1080/14697688.2022.2156384zbMath1518.91294MaRDI QIDQ6158399

Linqi Wang, Frédéric Vrins

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

zbMATH Keywords

Jensen-Shannon divergencenegative interest ratesaffine short-rate modelimplied density calibration

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Nonparametric state price density estimation using constrained least squares and the bootstrap
• An explicitly solvable Heston model with stochastic interest rate
• Nonparametric option pricing under shape restrictions
• A Theory of the Term Structure of Interest Rates
• Arbitrage-free smoothing of the implied volatility surface
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
• On the American swaption in the linear-rational framework
• Entropy and information in the interest rate term structure
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• A moment matching market implied calibration
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models

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