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Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

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Cited by:

  1. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
  2. Beatriz Mota Aragón, 2011. "Capital Investments and Real Options: New Proposals," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 65-76.
  3. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, June.
  4. I‐Doun Kuo & Yueh‐Neng Lin, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 23-32, January.
  5. Robert R. Bliss & Ehud I. Ronn, 1997. "Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities," FRB Atlanta Working Paper 97-1, Federal Reserve Bank of Atlanta.
  6. Gupta, Anurag & Subrahmanyam, Marti G., 2000. "An empirical examination of the convexity bias in the pricing of interest rate swaps," Journal of Financial Economics, Elsevier, vol. 55(2), pages 239-279, February.
  7. Kuo, I-Doun & Lin, Yueh-Neng, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, Elsevier, vol. 18(1), pages 23-32, January.
  8. Sanjiv Ranjan Das, 1997. "An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model," NBER Technical Working Papers 0212, National Bureau of Economic Research, Inc.
  9. David Bolder, 2001. "Affine Term-Structure Models: Theory and Implementation," Staff Working Papers 01-15, Bank of Canada.
  10. Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 151-179, June.
  11. Adam Golinski & Peter Spencer, 2012. "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers 12/27, Department of Economics, University of York.
  12. Anja Richter & Josef Teichmann, 2014. "Discrete Time Term Structure Theory and Consistent Recalibration Models," Papers 1409.1830, arXiv.org.
  13. Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.
  14. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "A Direct Approach to Arbitrage-Free Pricing of Derivatives," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-013, New York University, Leonard N. Stern School of Business-.
  15. 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.
  16. Nikolai Dokuchaev, 2013. "On strong binomial approximation for stochastic processes and applications for financial modelling," Papers 1311.0675, arXiv.org, revised Feb 2015.
  17. repec:uts:finphd:40 is not listed on IDEAS
  18. Ladokhin, Sergiy & Borovkova, Svetlana, 2021. "Three-factor commodity forward curve model and its joint P and Q dynamics," Energy Economics, Elsevier, vol. 101(C).
  19. Phelim Boyle & Ken Seng Tan & Weidong Tian, 2001. "Calibrating the Black-Derman-Toy model: some theoretical results," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(1), pages 27-48.
  20. M. Krivko & M. V. Tretyakov, 2011. "Numerical integration of Heath-Jarrow-Morton model of interest rates," Papers 1109.2557, arXiv.org.
  21. Lawrence M. Vielhaber, 2024. "How to Value Proved but Undeveloped Petroleum Reserves," The Energy Journal, , vol. 45(2), pages 23-47, March.
  22. Michael J. Tomas & Jun Yu, 2021. "An Asymptotic Solution for Call Options on Zero-Coupon Bonds," Mathematics, MDPI, vol. 9(16), pages 1-23, August.
  23. Sercu, P., 1991. "Bond options and bond portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 203-230, December.
  24. Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
  25. repec:dau:papers:123456789/5374 is not listed on IDEAS
  26. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
  27. Fehle, Frank, 2004. "A note on transaction costs and the existence of derivatives markets," Journal of Economics and Business, Elsevier, vol. 56(1), pages 63-70.
  28. Jonathan A. Batten & Karren Lee-Hwei Khaw & Martin R. Young, 2014. "Convertible Bond Pricing Models," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 775-803, December.
  29. Patrick Hagan & Diana Woodward, 1999. "Markov interest rate models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(4), pages 233-260.
  30. Ah Boon Sim & David C. Thurston, 1996. "An Empirical Study Of A New Class Of No-Arbitrage-Based Discrete Models Of The Term Structure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 493-513, December.
  31. Vladislav Kargin & Alexei Onatski, 2004. "Dynamics of Interest Rate Curve by Functional Auto-Regression," Macroeconomics 0404008, University Library of Munich, Germany, revised 28 Oct 2004.
  32. Ho, T. S. & Stapleton, Richard C. & Subrahmanyam, Marti G., 1997. "The valuation of American options on bonds1," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1487-1513, December.
  33. Josheski Dushko & Apostolov Mico, 2021. "Equilibrium Short-Rate Models Vs No-Arbitrage Models: Literature Review and Computational Examples," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 25(3), pages 42-71, September.
  34. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," European Journal of Operational Research, Elsevier, vol. 101(2), pages 374-392, September.
  35. San-Lin Chung & Hsiao-Fen Yang, 2005. "Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(2), pages 121-146.
  36. Das, Sanjiv Ranjan, 1998. "A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model," Journal of Economic Dynamics and Control, Elsevier, vol. 23(3), pages 333-369, November.
  37. Kim, Dong H. & Stock, Duane, 2014. "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, vol. 26(C), pages 20-35.
  38. Peter H. Ritchken & L. Sankarasubramanian, 1992. "On Markovian representations of the term structure," Working Papers (Old Series) 9214, Federal Reserve Bank of Cleveland.
  39. Isaiah Hull & Or Sattath & Eleni Diamanti & Göran Wendin, 2024. "Quantum Technology for Economists," Contributions to Economics, Springer, number 978-3-031-50780-9.
  40. Oldrich Alfons Vasicek & Francisco Venegas-Martínez, 2021. "Models of the Term Structure of Interest Rates: Review, Trends, and Perspectives," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-28, Abril - J.
  41. Grant, Dwight & Vora, Gautam, 2006. "Extending the universality of the Heath-Jarrow-Morton model," Review of Financial Economics, Elsevier, vol. 15(2), pages 129-157.
  42. Chuang-Chang Chang & Ruey-Jenn Ho & Chengfew Lee, 2010. "Pricing credit card loans with default risks: a discrete-time approach," Review of Quantitative Finance and Accounting, Springer, vol. 34(4), pages 413-438, May.
  43. Christoph Woster, 2010. "An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 555-564.
  44. Fruhwirth, Manfred, 2001. "A pricing model for secondary market yield based floating rate notes subject to default risk," European Journal of Operational Research, Elsevier, vol. 135(2), pages 233-248, December.
  45. Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan, 2013. "Pricing securities with multiple risks: A case of exchangeable debt," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1018-1028.
  46. Massimo Costabile & Ivar Massabó & Emilio Russo, 2011. "A binomial approximation for two-state Markovian HJM models," Review of Derivatives Research, Springer, vol. 14(1), pages 37-65, April.
  47. Giacometti, Rosella & Teocchi, Mariangela, 2005. "On pricing of credit spread options," European Journal of Operational Research, Elsevier, vol. 163(1), pages 52-64, May.
  48. Xiao Lin, 2016. "The Zero-Coupon Rate Model for Derivatives Pricing," Papers 1606.01343, arXiv.org, revised Feb 2022.
  49. Rosa Ferrentino & Luca Vota, 2022. "A Mathematical Model for the Pricing of Derivative Financial Products: the Role of the Banking Supervision and of the Model Risk," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 11(1), pages 1-2.
  50. Stoyan Valchev, 2004. "Stochastic volatility Gaussian Heath-Jarrow-Morton models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(4), pages 347-368.
  51. Pieter Klaassen, 1998. "Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis," Management Science, INFORMS, vol. 44(1), pages 31-48, January.
  52. Klaassen, Pieter, 1997. "Solving stochastic programming models for asset/liability management using iterative disaggregation," Serie Research Memoranda 0010, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  53. Glasserman, P. & Zhao, X., 1998. "Arbitrage-Free Discretization of Lognormal Forward Libor and Swap Rate Models," Papers 98-09, Columbia - Graduate School of Business.
  54. Sanjiv R. Das, 1998. "Poisson-Guassian Processes and the Bond Markets," NBER Working Papers 6631, National Bureau of Economic Research, Inc.
  55. Byers, Joe Wayne, 2006. "Commodity storage valuation: A linear optimization based on traded instruments," Energy Economics, Elsevier, vol. 28(3), pages 275-287, May.
  56. Wilhelm, Jochen, 2000. "Das Gaußsche Zinsstrukturmodell: Eine Analyse auf der Basis von Wahrscheinlichkeitsverteilungen," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 6, University of Passau, Faculty of Business and Economics.
  57. Oldrich Alfons Vasicek & Francisco Venegas-Martínez, 2021. "Modelos de la estructura de plazos de las tasas de interés: Revisión, tendencias y perspectivas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-28, Abril - J.
  58. João Pedro Vidal Nunes, 2004. "MultiFactor Valuation of Floating Range Notes," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 79-97, January.
  59. Carlo Mari & Roberto Reno, 2006. "Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(2), pages 143-153.
  60. Cristiano Baldassari & Massimiliano Meschini & Paola Nascenzi, 2024. "Stochastic Inflation and the Term Structure of Interest Rates: a Simple Diffusion Model," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 13(4), pages 1-2.
  61. Robert R. Bliss & Peter H. Ritchken, 1995. "Empirical tests of two state-variable HJM models," FRB Atlanta Working Paper 95-13, Federal Reserve Bank of Atlanta.
  62. Sodhi, ManMohan S. & Tang, Christopher S., 2009. "Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset-liability management," International Journal of Production Economics, Elsevier, vol. 121(2), pages 728-738, October.
  63. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  64. Kanjilal, Kakali, 2013. "Factors causing movements of yield curve in India," Economic Modelling, Elsevier, vol. 31(C), pages 739-751.
  65. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2000. "A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives," Management Science, INFORMS, vol. 46(1), pages 46-62, January.
  66. Fergusson, Kevin, 2020. "Less-Expensive Valuation And Reserving Of Long-Dated Variable Annuities When Interest Rates And Mortality Rates Are Stochastic," ASTIN Bulletin, Cambridge University Press, vol. 50(2), pages 381-417, May.
  67. Mahendra Raj, 1994. "Pricing options on short-term interest rates using discrete arbitrage-free models," Applied Economics Letters, Taylor & Francis Journals, vol. 1(1), pages 1-3.
  68. Giacomo Morelli, 2021. "Fair prices under a unified lattice approach for interest rate derivatives," Annals of Operations Research, Springer, vol. 299(1), pages 429-441, April.
  69. L. L. Ghezzi, 1997. "Immunization and Max–Min Optimal Control," Journal of Optimization Theory and Applications, Springer, vol. 95(3), pages 701-711, December.
  70. Florent MCISAAC, 2017. "Testing Goodwin with a Stochastic Differential Approach – The United States (1948-2017)," Working Paper b9367a07-3c34-4bca-83a2-f, Agence française de développement.
  71. V. M. Belyaev, 2016. "Swaption Prices in HJM model. Nonparametric fit," Papers 1607.01619, arXiv.org, revised Apr 2017.
  72. Dwight Grant & Gautam Vora, 2006. "Extending the universality of the Heath–Jarrow–Morton model," Review of Financial Economics, John Wiley & Sons, vol. 15(2), pages 129-157.
  73. Raj, Mahendra & Sim, Ah Boon & Thurston, David C., 1997. "A generalized method of moments comparison of the cox-ingersoll-ross and heath-jarrow-morton models," Journal of Economics and Business, Elsevier, vol. 49(2), pages 169-192.
  74. Albeverio, Sergio & Lytvynov, Eugene & Mahnig, Andrea, 2004. "A model of the term structure of interest rates based on Lévy fields," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 251-263, December.
  75. Florent McIsaac, 2021. "Testing Goodwin with a stochastic differential approach—The United States (1948–2019)," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 696-730, November.
  76. Frederik Herzberg, 2008. "Black-Scholes theory for an underlying with multiple attractors," Quantitative Finance, Taylor & Francis Journals, vol. 8(5), pages 453-457.
  77. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  78. Oldrich Alfons Vasicek & Francisco Venegas-Martínez, 2021. "Modelos de la estructura de plazos de las tasas de interés: Revisión, tendencias y perspectivas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-28, Abril - J.
  79. Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.
  80. Patrick Hagan & Graeme West, 2006. "Interpolation Methods for Curve Construction," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(2), pages 89-129.
  81. Sanjiv R. Das & Rangarajan K. Sundaram, 2007. "An Integrated Model for Hybrid Securities," Management Science, INFORMS, vol. 53(9), pages 1439-1451, September.
  82. Abaffy, Jozsef & Bertocchi, Marida & Gnudi, Adriana, 2005. "Extensions of the Ho and Lee interest-rate model to the multinomial case," European Journal of Operational Research, Elsevier, vol. 163(1), pages 154-169, May.
  83. João Pedro Vidal Nunes & Luís Alberto Ferreira De Oliveira, 2007. "Multifactor and analytical valuation of treasury bond futures with an embedded quality option," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(3), pages 275-303, March.
  84. Manfred Frühwirth, 2002. "The optimal timing of the transfer of hidden reserves in the German and Austrian tax systems," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 11(2), pages 71-88, April.
  85. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.
  86. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," Serie Research Memoranda 0011, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  87. V. M. Belyaev, 2023. "HJM Local Volatility Model," Papers 2301.13595, arXiv.org, revised Jan 2025.
  88. Jarno Talponen & Minna Turunen, 2022. "Option pricing: a yet simpler approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 57-81, June.
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