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The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks

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Cited by:

  1. Heidari, Massoud & Wu, Liuren, 2009. "A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(3), pages 517-550, June.
  2. Longstaff, Francis A., 2002. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," University of California at Los Angeles, Anderson Graduate School of Management qt19k7479t, Anderson Graduate School of Management, UCLA.
  3. Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers dp501, Financial Markets Group.
  4. Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
  5. Kimmel, Robert L., 2004. "Modeling the term structure of interest rates: A new approach," Journal of Financial Economics, Elsevier, vol. 72(1), pages 143-183, April.
  6. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  7. Roncoroni, Andrea & Galluccio, Stefano & Guiotto, Paolo, 2010. "Shape factors and cross-sectional risk," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2320-2340, November.
  8. Roger Lord & Antoon Pelsser, 2007. "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(2), pages 105-130.
  9. Demers, Jean-Guy, 2009. "Multiple zone power forwards: A value at risk framework," Energy Economics, Elsevier, vol. 31(5), pages 714-726, September.
  10. Buraschi, Andrea & Corielli, Francesco, 2005. "Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2883-2907, November.
  11. Lloyd P. Blenman & Alberto Bueno-Guerrero & Steven P. Clark, 2022. "Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model," Risks, MDPI, vol. 10(10), pages 1-17, September.
  12. Belal E. Baaquie & Marakani Srikant & Mitch C. Warachka, 2003. "A Quantum Field Theory Term Structure Model Applied to Hedging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(05), pages 443-467.
  13. Laruent Barras, 2005. "International Conditional Asset Allocation under Real Time Uncertrainty," FAME Research Paper Series rp153, International Center for Financial Asset Management and Engineering.
  14. Pandher, Gurupdesh, 2007. "Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration," Journal of Economic Theory, Elsevier, vol. 137(1), pages 432-459, November.
  15. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246, Elsevier.
  16. Kerkhof, F.L.J. & Pelsser, A., 2002. "Observational Equivalence of Discrete String Models and Market Models," Discussion Paper 2002-28, Tilburg University, Center for Economic Research.
  17. 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.
  18. Pierre Collin‐Dufresne & Robert S. Goldstein, 2002. "Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility," Journal of Finance, American Finance Association, vol. 57(4), pages 1685-1730, August.
  19. Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc.
  20. Vladislav Kargin, 2003. "Portfolio Management for a Random Field of Bond Returns," Finance 0310007, University Library of Munich, Germany.
  21. Zhou, Wei-Xing & Sornette, Didier, 2004. "Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 586-608.
  22. Roberto Baviera, 2007. "A simple solution for sticky cap and sticky floor," Quantitative Finance, Taylor & Francis Journals, vol. 7(3), pages 285-287.
  23. Svenstrup, Mikkel, 2005. "On the suboptimality of single-factor exercise strategies for Bermudan swaptions," Journal of Financial Economics, Elsevier, vol. 78(3), pages 651-684, December.
  24. Rajinda Wickrama, 2021. "Pricing Exchange Rate Options and Quanto Caps in the Cross-Currency Random Field LIBOR Market Model," Papers 2103.00323, arXiv.org, revised Mar 2021.
  25. Hassan Allouba & Victor Goodman, 2010. "Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look," Papers 1005.3799, arXiv.org.
  26. Alberto Bueno-Guerrero & Steven P. Clark, 2023. "Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps," Mathematics, MDPI, vol. 12(1), pages 1-39, December.
  27. Richard K. Crump & Nikolay Gospodinov, 2022. "On the Factor Structure of Bond Returns," Econometrica, Econometric Society, vol. 90(1), pages 295-314, January.
  28. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, vol. 7(2), pages 99-127, August.
  29. Christophe PÉRIGNON & Christophe VILLA, 2002. "Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates," FAME Research Paper Series rp53, International Center for Financial Asset Management and Engineering.
  30. Belal Baaquie & Jean-Philippe Bouchaud, 2004. ""Stiff" Field Theory of Interest Rates and Psychological Future Time," Science & Finance (CFM) working paper archive 500064, Science & Finance, Capital Fund Management.
  31. Mele, Antonio & Distaso, Walter & Vilkov, Grigory, 2019. "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers 13873, C.E.P.R. Discussion Papers.
  32. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2015. "Stochastic string models with continuous semimartingales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 229-246.
  33. Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(3), pages 635-672, September.
  34. Bisht Deepak & Laha, A. K., 2017. "Pricing Option on Commodity Futures under String Shock," IIMA Working Papers WP 2017-07-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
  35. Choong Tze Chua & Dean Foster & Krishna Ramaswamy & Robert Stine, 2008. "A Dynamic Model for the Forward Curve," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 265-310, January.
  36. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
  37. Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
  38. Eymen Errais & Fabio Mercurio, 2005. "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005 192, Society for Computational Economics.
  39. Vladislav Kargin, 2002. "On Bond Portfolio Management," Papers math/0208130, arXiv.org, revised Mar 2003.
  40. repec:wyi:journl:002109 is not listed on IDEAS
  41. Sergey Lototsky & Henry Schellhorn & Ran Zhao, 2016. "A String Model of Liquidity in Financial Markets," Papers 1608.05900, arXiv.org, revised Apr 2018.
  42. Belal E. Baaquie & Marakani Srikant & Mitch Warachka, 2002. "A Quantum Field Theory Term Structure Model Applied to Hedging," Papers cond-mat/0206457, arXiv.org.
  43. Belal Baaquie & Jean-Philippe Bouchaud, 2004. ""Stiff" Field Theory of Interest Rates and Psychological Future Time," Papers cond-mat/0403713, arXiv.org.
  44. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
  45. Bibinger, Markus & Trabs, Mathias, 2020. "Volatility estimation for stochastic PDEs using high-frequency observations," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3005-3052.
  46. Andrew Jeffrey, 2004. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 251-289.
  47. Feng Zhao & Robert Jarrow & Haitao Li, 2004. "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings 431, Econometric Society.
  48. Ledoit, Olivier & Santa-Clara, Pedro & Yan, Shu, 2002. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management qt7jp8f42t, Anderson Graduate School of Management, UCLA.
  49. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2020. "Valuation of caps and swaptions under a stochastic string model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  50. Casassus, Jaime & Collin-Dufresne, Pierre & Goldstein, Bob, 2005. "Unspanned stochastic volatility and fixed income derivatives pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2723-2749, November.
  51. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
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