On the information in the interest rate term structure and option prices

DOI10.1023/B:REDR.0000031175.79497.7FzbMATH Open1080.91044OpenAlexW3122218143MaRDI QIDQ704010FDOQ704010

Authors: Frank de Jong, Joost Driessen, Antoon Pelsser 

Publication date: 12 January 2005

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:redr.0000031175.79497.7f

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zbMATH Keywords

interest rate derivativesTerm structure modelsvolatility hump.

Mathematics Subject Classification ID

Cited In (11)

• Interest rate options valuation under incomplete information
• Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
• The LIBOR model dynamics: Approximations, calibration and diagnostics
• Level–Slope–Curvature – Fact or Artefact?
• Entropy and information in the interest rate term structure
• A novel method for a class of structured low-rank minimizations with equality constraint
• Rank reduction of correlation matrices by majorization
• A double obstacle model for pricing bi-leg defaultable interest rate swaps
• Pricing rate of return guarantees in regular premium unit linked insurance
• A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
• Efficient rank reduction of correlation matrices

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