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 dynamicsvolatility structuretwo- dimensional state variable Markov process

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

(55)

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

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