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Interest rate convexity in a Gaussian framework

Author

Listed:
  • Antoine Jacquier
  • Mugad Oumgari

Abstract

The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of convexity adjustment, derive explicit formulae for it.

Suggested Citation

  • Antoine Jacquier & Mugad Oumgari, 2023. "Interest rate convexity in a Gaussian framework," Papers 2307.14218, arXiv.org, revised Mar 2024.
    • Handle: RePEc:arx:papers:2307.14218
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    File URL: http://arxiv.org/pdf/2307.14218
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    References listed on IDEAS

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