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A Family of Humped Volatility Structures

Author

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  • Fabio Mercurio

    (Erasmus University Rotterdam)

  • Juan M. Moraleda

    (Erasmus University Rotterdam)

Abstract

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Suggested Citation

  • Fabio Mercurio & Juan M. Moraleda, 1996. "A Family of Humped Volatility Structures," Tinbergen Institute Discussion Papers 96-169/2, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:19960169
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    File URL: https://papers.tinbergen.nl/96169.pdf
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    References listed on IDEAS

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    1. Li, Anlong & Ritchken, Peter & Sankarasubramanian, L, 1995. "Lattice Models for Pricing American Interest Rate Claims," Journal of Finance, American Finance Association, vol. 50(2), pages 719-737, June.
    2. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    3. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
    4. Chan, K C, et al, 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    5. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    6. Peter Ritchken & L. Sankarasubramanian, 1995. "Volatility Structures Of Forward Rates And The Dynamics Of The Term Structure1," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 55-72, January.
    7. Amin, Kaushik I. & Morton, Andrew J., 1994. "Implied volatility functions in arbitrage-free term structure models," Journal of Financial Economics, Elsevier, vol. 35(2), pages 141-180, April.
    8. Hull, John & White, Alan, 1993. "One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(2), pages 235-254, June.
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    Cited by:

    1. Maximilian Beinhofer & Ernst Eberlein & Arend Janssen & Manuel Polley, 2011. "Correlations in L�vy interest rate models," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1315-1327, November.
    2. Markus Leippold & Liuren Wu, 2003. "Design and Estimation of Quadratic Term Structure Models," Review of Finance, European Finance Association, vol. 7(1), pages 47-73.
    3. Eric Benhamou, 2000. "Pricing Convexity Adjustment with Wiener Chaos," FMG Discussion Papers dp351, Financial Markets Group.
    4. Benhamou, Eric, 2000. "Pricing convexity adjustment with Wiener chaos," LSE Research Online Documents on Economics 119104, London School of Economics and Political Science, LSE Library.

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