Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives

DOI10.1007/S10287-024-00514-1MaRDI QIDQ6538812zbMATH OpenFDO

Authors Allan Jonathan da Silva, J. Baczynski

Publication date 14 May 2024

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10287-024-00514-1

zbMATH Keywords

COS methodinterest rate derivativesmultivariate AJD modelsoption pricingstochastic volatility

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option
• A novel pricing method for European options based on Fourier-cosine series expansions
• An equilibrium characterization of the term structure
• Binomial tree method for option pricing: discrete cosine transform approach
• Bivariate generalized gamma distributions of Kibble's type
• Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
• Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 3105214 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• Market anticipation of Fed policy changes and the term structure of interest rates
• Pricing interest-rate derivatives. A Fourier-transform based approach.
• Term structure movements implicit in Asian option prices
• The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
• The surprise element: Jumps in interest rates.
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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