Asymmetric short-rate model without lower bound

DOI10.1080/14697688.2022.2156384zbMATH Open1518.91294MaRDI QIDQ6158399FDOQ6158399

Authors: Frédéric Vrins, Linqi Wang 

Publication date: 20 June 2023

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

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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

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

Cited In (2)

• How to handle negative interest rates in a CIR framework
• Title not available (Why is that?)

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