An analytically tractable interest rate model with humped volatility
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- 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.
- 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..
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Moraleda, Juan M. & Vorst, Ton C. F., 1997. "Pricing American interest rate claims with humped volatility models," Journal of Banking & Finance, Elsevier, vol. 21(8), pages 1131-1157, August.
- F. Jamshidian, 1995. "A simple class of square-root interest-rate models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(1), pages 61-72.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Haitao Li & Xiaoxia Ye, 2013. "A Type of HJM Based Affine Model: Theory and Empirical Evidence," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- repec:sbe:breart:v:32:y:2012:i:2:a:13534 is not listed on IDEAS
- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
- Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2016. "The stochastic string model as a unifying theory of the term structure of interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 217-237.
- Jury Falini, 2009. "Pricing caps with HJM models: the benefits of humped volatility," Department of Economics University of Siena 563, Department of Economics, University of Siena.
- Laurini, Márcio Poletti & Ohashi, Alberto, 2015.
"A noisy principal component analysis for forward rate curves,"
European Journal of Operational Research,
Elsevier, vol. 246(1), pages 140-153.
- Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
- Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.
- Renne, Jean-Paul, 2016. "A tractable interest rate model with explicit monetary policy rates," European Journal of Operational Research, Elsevier, vol. 251(3), pages 873-887.
- Anders B. Trolle & Eduardo S. Schwartz, 2009. "A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives," Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 2007-2057, May.
- Falini, Jury, 2010. "Pricing caps with HJM models: The benefits of humped volatility," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1358-1367, December.
- Massimo Costabile & Ivar Massabó & Emilio Russo, 2013. "A Path-Independent Humped Volatility Model for Option Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(3), pages 191-210, July.
- Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5.
- Flavio Angelini & Stefano Herzel, 2006. "Notes and Comments: An approximation of caplet implied volatilities in Gaussian models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 28(2), pages 113-127, February.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:120:y:2000:i:1:p:205-214. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/eor .