Asymmetric short-rate model without lower bound

DOI10.1080/14697688.2022.2156384MaRDI QIDQ6158399zbMATHFDO

Authors Frédéric Vrins, Linqi Wang

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)

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Cites work

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

Cited in

(2)

• How to handle negative interest rates in a CIR framework
• scientific article; zbMATH DE number 7107673 (Why is no real title available?)

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