[BOOK][B] Modeling derivatives in C++
J London - 2005 - books.google.com
This book is the definitive and most comprehensive guide to modeling derivatives in C++
today. Providing readers with not only the theory and math behind the models, as well as the …
today. Providing readers with not only the theory and math behind the models, as well as the …
[BOOK][B] Dynamic term structure modeling: the fixed income valuation course
SK Nawalkha, GM Soto, NA Beliaeva - 2007 - books.google.com
Praise for Dynamic Term Structure Modeling" This book offers the most comprehensive
coverage of term-structure models I have seen so far, encompassing equilibrium and no …
coverage of term-structure models I have seen so far, encompassing equilibrium and no …
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach
C Chiarella, H Hung, TD Tô - Computational statistics & data analysis, 2009 - Elsevier
The dynamics for interest rate processes within the well-known multi-factor Heath, Jarrow
and Morton (HJM) specification are considered. Despite the flexibility of and the notable …
and Morton (HJM) specification are considered. Despite the flexibility of and the notable …
On pricing and hedging in the swaption market: How many factors, really?
R Fan, A Gupta, PH Ritchken - 2007 - papers.ssrn.com
This article examines how the number of stochastic drivers and their associated volatility
structures affect pricing accuracy and hedging performance in the swaption market. In spite …
structures affect pricing accuracy and hedging performance in the swaption market. In spite …
On correlation and default clustering in credit markets
A Berndt, P Ritchken, Z Sun - The Review of Financial Studies, 2010 - academic.oup.com
We establish Markovian models in the paradigm that permit an exponential affine
representation of riskless and risky bond prices while offering significant flexibility in the …
representation of riskless and risky bond prices while offering significant flexibility in the …
Interest rate risk management: Developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows
This paper surveys the main concepts and techniques of recent developments in the
modeling of the term structure of interest rates that are used in the risk management and …
modeling of the term structure of interest rates that are used in the risk management and …
[PDF][PDF] The reduction of forward rate dependent volatility HJM models to Markovian form: Pricing European bond options
We consider a single factor Heath-Jarrow-Morton model with a forward rate volatility function
depending upon a function of time to maturity, the instantaneous spot rate of interest and a …
depending upon a function of time to maturity, the instantaneous spot rate of interest and a …
A Nonparametric Analysis of the Forward Rate Volatilities
ND Pearson, A Zhou - Office for Futures and Options Research …, 1999 - papers.ssrn.com
Abstract Heath, Jarrow, and Morton (1992) present a general framework for modeling the
term structure of interest rates which nests most other models as special cases. In their …
term structure of interest rates which nests most other models as special cases. In their …
Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
M Rutkowski - Applied Mathematical Finance, 1996 - Taylor & Francis
The aim of the present paper is mostly expository, namely, we intend to provide a concise
presentation of arbitrage pricing and hedging of European contingent claims within the …
presentation of arbitrage pricing and hedging of European contingent claims within the …
Global asset allocation in fixed income markets
S Ramaswamy - 1997 - papers.ssrn.com
Many global investors are faced with the problem of choosing an appropriate currency
allocation of their assets in the capital markets. This paper addresses the asset allocation …
allocation of their assets in the capital markets. This paper addresses the asset allocation …