The Term Structure of Simple Forward Rates with Jump Risk
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Cites work
- A jump-diffusion model for option pricing
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- Hedging contingent claims on semimartingales
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- LIBOR and swap market models and measures
- Option pricing when underlying stock returns are discontinuous
- Post-'87 crash fears in the S\&P 500 futures option market
- The Market Model of Interest Rate Dynamics
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(42)- The term structure of interest rates in the economic and monetary union
- Numerical solution of jump-diffusion LIBOR market models
- Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
- FFT network for interest rate derivatives with Lévy processes
- Statistical arbitrage in jump-diffusion models with compound Poisson processes
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- Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
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- Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
- The affine LIBOR models
- A jump-diffusion model for the euro overnight rate
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- THEORY AND CALIBRATION OF SWAP MARKET MODELS
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- First passage times of a jump diffusion process
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- The Lévy Swap Market Model
- Consistency Problems for Jump‐diffusion Models
- A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
- A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
- The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
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