VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

DOI10.1111/J.1467-9965.1995.TB00101.XMaRDI QIDQ3125791zbMATH OpenOpenAlexFDO

Authors L. Sankarasubramanian, Peter Ritchken

Publication date 20 July 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1995.tb00101.x

zbMATH Keywords

term structure dynamicstwo- dimensional state variable Markov processvolatility structure

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

Cited in

(58)

• A preference free partial differential equation for the term structure of interest rates
• An extended Heath-Jarrow-Morton risk-neutral drift
• A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
• Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
• The stochastic string model as a unifying theory of the term structure of interest rates
• Explosion in the quasi-Gaussian HJM model
• Nash estimates and upper bounds for non-homogeneous Kolmogorov equations
• Small-noise limit of the quasi-Gaussian log-normal HJM model
• A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
• Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
• A continuous dependence result for ultraparabolic equations in option pricing
• Pointwise estimates for a class of non-homogeneous Kolmogorov equations
• Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor
• scientific article; zbMATH DE number 1724292 (Why is no real title available?)
• On dynamic forward rate modeling and principal component analysis
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
• TERM STRUCTURE OF VANILLA OPTIONS
• Factors' correlation in the Heath-Jarrow-Morton interest rate model
• Common forward rate volatility
• On pricing kernels and finite-state variable Heath Jarrow Morton models
• American stochastic volatility call option pricing: a lattice based approach
• A tractable yield-curve model that guarantees positive interest rates
• Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach
• Volatility structures of forward rates and the dynamics of the term structure: a multifactor case
• Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
• WHEN IS THE SHORT RATE MARKOVIAN?
• AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
• Markov interest rate models
• A numerical PDE approach for pricing callable bonds
• Sensitivity with respect to the yield curve: duration in a stochastic setting
• Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
• Interest rate volatility and the shape of the term structure
• scientific article; zbMATH DE number 912569 (Why is no real title available?)
• Markovian spot rate dynamics with stochastic volatility structures
• Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
• Bond market completeness under stochastic strings with distribution-valued strategies
• Real-world jump-diffusion term structure models
• A binomial approximation for two-state Markovian HJM models
• A comparison of single factor Markov-functional and multi factor market models
• EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
• On accurate and provably efficient GARCH option pricing algorithms
• Efficient Factor Models For Yield Curve Dynamics
• Interest Rate Risk Management
• Term Structure Models: A Perspective from the Long Rate
• The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
• Interest rate theory and geometry
• Consistent time‐homogeneous modeling of SPX and VIX derivatives
• Interest Rates Term Structure Models Driven by Hawkes Processes
• Pricing caps with HJM models: the benefits of humped volatility
• Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility
• Analyzing short-rate models for efficient bond option pricing: a review
• Duration, factor sensitivities, and interest rate Greeks
• Efficiently pricing barrier options in a Markov-switching framework
• A class of jump-diffusion bond pricing models within the HJM framework
• Existence of Lévy term structure models
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach

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