Christian Zühlsdorff  Home/Search
Context
Related
| whukoblenz.de/banking...zuehlsdorf.pdf Cached: PS.gz PS PDF This document uses CoBlitz to cache paper downloads. If your firewall is blocking outgoing connections to port 3125, you can use these links to download local copies.
Image Update HelpPS.gz PS PDF From: whukoblenz.de/banking...sgf3prgr (more) (Enter author homepages) |
Rate this article:      (best)Comment on this article |
Abstract: . The market model specifies simple forward rates as lognormaly distributed, i.e., their stochastic dynamics has a linear volatility function. This model is extended to quadratic volatility functions and we derive closed-form solutions to interest rate derivatives in this setup. We discuss the problem of the absorbing/reflecting boundary in zero and give examples for the difference in implied volatilities. We fit the model to market prices and provide criteria for model choice. JEL... (Update)
Similar documents based on text: More All
0.7: Extended Libor Market Models With Affine And Quadratic.. - Christian Uhlsdor Ff (Correct)
0.6: The Term Structure of Simple Forward Rates with Jump Risk - Glasserman, Kou (2002) (Correct)
0.5: Linking Caplet and Swaption Volatilities in a BGM/J.. - Jäckel, Rebonato (2000) (Correct)
BibTeX entry: (Update)
@misc{ hlsdorff-extended,
author = "Christian Zühlsdorff",
title = "Extended Market Models With Affine And Quadratic Volatility",
url = "citeseer.ist.psu.edu/407197.html" }
Citations (may not include all citations):119 Bond Pricing and the Term Structure of Interest Rates: A new.. (context) - Heath, Jarrow et al. - 1992
110 The Theory of Stochastic Processes (context) - Cox, Miller - 1965
53 Stochastic Equations in Infinite Dimensions (context) - Prato, Zabczyk - 1992
45 The Pricing of Commodity Contracts (context) - Black - 1976
38 The Market Model of Interest Rate Dynamics (context) - Brace, Gatarek et al. - 1997
19 Closed Form Solutions for Term Structure Derivatives with Lo.. - Miltersen, Sandmann et al. - 1997
16 LIBOR and swap market models and measures (context) - Jamshidian - 1997
12 Volatility Skews and Extensions of the Libor Market Model (context) - Andersen, Andreasen - 1998
9 Implied volatility functions in arbitrage-free term structur.. (context) - Amin, Morton - 1994
3 Arbitrage Theory in Continuous Time (context) - Bjrk - 1998
2 An Empirical Comparison of Forward and Spot Rate Models for .. (context) - Bhler, Uhrig-Homburg et al. - 1999
1 The Pricing of Derivatives on Assets with Quadratic Volatili.. (context) - Zhlsdorff - 1998
1 the Term Structure of Interest Rates in the Presence of Refl.. - Goldstein, Keirstead - 1997
Documents on the same site (http://www.whu-koblenz.de/banking/sgf/sgf3prgr.htm): More
Financial Contagion: Spillovers through Banking Centers - Van Rijckeghem, Weder (1999) (Correct)
Quadratic Term Structure Models - Leippold, Wu (Correct)
The Valuation of Vulnerable Options and Forward Contracts in a.. - Ammann (1999) (Correct)
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC