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Convexity theory for the term structure equation

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  • Erik Ekström
  • Johan Tysk

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  • Erik Ekström & Johan Tysk, 2008. "Convexity theory for the term structure equation," Finance and Stochastics, Springer, vol. 12(1), pages 117-147, January.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:1:p:117-147
    DOI: 10.1007/s00780-007-0055-3
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    References listed on IDEAS

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    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. Alvarez, Luis H. R., 2001. "On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 83-90, February.
    3. Nicole El Karoui & Monique Jeanblanc‐Picquè & Steven E. Shreve, 1998. "Robustness of the Black and Scholes Formula," Mathematical Finance, Wiley Blackwell, vol. 8(2), pages 93-126, April.
    4. Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Cheng-Feng Cheng, 2012. "Evaluate the Effectiveness of Manager Compensation," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 11(1), pages 25-44, June.
    2. Juozas Vaicenavicius, 2017. "Asset liquidation under drift uncertainty and regime-switching volatility," Papers 1701.08579, arXiv.org, revised Jan 2019.
    3. Erik Ekstrom & Juozas Vaicenavicius, 2015. "Optimal liquidation of an asset under drift uncertainty," Papers 1509.00686, arXiv.org.

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    More about this item

    Keywords

    Interest rate theory; Bond options; Convexity; Parameter monotonicity; Log-convexity; Log-concavity; Affine term structure; 91B28; 35K99; E43; G13;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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