Interest rate convexity in a Gaussian framework

DOI10.1080/14697688.2024.2356234MaRDI QIDQ6592277zbMATH OpenFDO

Authors Antoine Jacquier, Mugad Oumgari

Publication date 26 August 2024

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2024.2356234

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• An equilibrium characterization of the term structure
• Deep Curve-Dependent PDEs for Affine Rough Volatility
• Interest rate models -- theory and practice. With smile, inflation and credit
• Mathematical foundation of convexity correction
• On bifractional Brownian motion
• Path and semimartingale properties of chaos processes
• Pricing interest-rate-derivative securities
• Pricing under rough volatility
• Rough volatility
• Stochastic calculus with respect to Gaussian processes
• Stochastic differential equations. An introduction with applications.
• The microstructural foundations of leverage effect and rough volatility
• Volatility has to be rough
• Volatility is rough

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