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Pricing Interest Rate Derivatives: A General Approach

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  1. Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
  2. Adrian Prayoga & Nicolas Privault, 2017. "Pricing CIR Yield Options by Conditional Moment Matching," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(1), pages 19-38, March.
  3. Levendorskii, Sergei, 2004. "Consistency conditions for affine term structure models," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 225-261, February.
  4. Almeida, Caio & Vicente, José, 2009. "Are interest rate options important for the assessment of interest rate risk?," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1376-1387, August.
  5. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlogl, 2007. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 365-399.
  6. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  7. Bakshi, Gurdip & Crosby, John & Gao, Xiaohui & Hansen, Jorge W., 2023. "Treasury option returns and models with unspanned risks," Journal of Financial Economics, Elsevier, vol. 150(3).
  8. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2022. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Journal of Finance, American Finance Association, vol. 77(5), pages 2853-2906, October.
  9. Sergei LevendorskiĬ, 2006. "Consistency conditions for affine term structure models," Annals of Finance, Springer, vol. 2(2), pages 207-224, March.
  10. Ahmad Telfah, "undated". "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center.
  11. Kang, Jangkoo & Park, Hyoung-Jin, 2006. "Tests of alternate models for the pricing of Korean Treasury bond futures contracts," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 410-425, September.
  12. Juneja, Januj, 2017. "Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 292-305.
  13. Januj Juneja, 2015. "An evaluation of alternative methods used in the estimation of Gaussian term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 1-24, January.
  14. Caio Almeida & Jos� Vicente, 2012. "Term structure movements implicit in Asian option prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 119-134, February.
  15. Villaplana Conde, Pablo, 2003. "Pricing power derivatives: a two-factor jump-diffusion approach," DEE - Working Papers. Business Economics. WB wb031805, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  16. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
  17. Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
  18. Cheikh Mbaye & Frédéric Vrins, 2022. "Affine term structure models: A time‐change approach with perfect fit to market curves," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 678-724, April.
  19. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  20. Mr. John J Matovu, 2007. "Volatility and Jump Risk Premia in Emerging Market Bonds," IMF Working Papers 2007/172, International Monetary Fund.
  21. Carl Chiarella & Christina Sklibosios, 2003. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 87-127, September.
  22. Vedolin, Andrea, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
  23. Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
  24. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2020. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Papers 2006.15312, arXiv.org, revised May 2022.
  25. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6, July-Dece.
  26. repec:wyi:journl:002064 is not listed on IDEAS
  27. Anjiao Wang, 2020. "The Pricing of Total Return Swap Under Default Contagion Models with Jump-Diffusion Interest Rate Risk," Indian Journal of Pure and Applied Mathematics, Springer, vol. 51(1), pages 361-373, March.
  28. Sergei Levendorskii, 2004. "Consistency conditions for affine term structure models," Econometric Society 2004 North American Winter Meetings 413, Econometric Society.
  29. G. Charles-Cadogan, 2012. "Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM," Papers 1206.4562, arXiv.org.
  30. Liang, Xue & Wang, Guojing & Dong, Yinghui, 2013. "A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 373-381.
  31. Alan De Genaro & Marco Avellaneda, 2018. "Pricing Interest Rate Derivatives Under Monetary Changes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-28, September.
  32. 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.
  33. 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.
  34. Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers dp501, Financial Markets Group.
  35. Hinnerich, Mia, 2008. "Inflation-indexed swaps and swaptions," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2293-2306, November.
  36. Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool," Energy Policy, Elsevier, vol. 38(10), pages 5671-5683, October.
  37. 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.
  38. Liu, Peng & Tang, Ke, 2011. "The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 211-224, March.
  39. Liu, Qingfeng & Nishiyama, Yoshihiko, 2008. "Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 341-350.
  40. Xingchun Wang, 2020. "Analytical valuation of Asian options with counterparty risk under stochastic volatility models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 410-429, March.
  41. Almeida, Caio & Vicente, José, 2009. "Identifying volatility risk premia from fixed income Asian options," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 652-661, April.
  42. Nawalkha, Sanjay K & Zhuo, Xiaoyang, 2020. "A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims," OSF Preprints hsxtu, Center for Open Science.
  43. Chacko, George & Viceira, Luis M., 2003. "Spectral GMM estimation of continuous-time processes," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 259-292.
  44. Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market," Energy Economics, Elsevier, vol. 32(2), pages 302-312, March.
  45. Li, Shaoyu & Zhang, Yuanyuan & Zhu, Chunhui, 2021. "A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  46. Jaroslav Brada, 2012. "Interest Rate Swap Valuation for Accounting and Tax Purposes ABSTRACT [Oceňování úrokových swapů pro účetní daňové účely]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2012(1), pages 104-120.
  47. Sergei Levendorskii, 2002. "Pseudo-diffusions and Quadratic term structure models," Papers cond-mat/0212249, arXiv.org, revised Apr 2004.
  48. Jiang, George & Yan, Shu, 2009. "Linear-quadratic term structure models - Toward the understanding of jumps in interest rates," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 473-485, March.
  49. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005, January-A.
  50. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 53-60, July.
  51. Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao, 2006. "Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 255-284.
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