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Stochastics Volatility Corrections For Interest Rate Models
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Book Synopsis Stochastics Volatility Corrections for Interest Rate Models by :
Download or read book Stochastics Volatility Corrections for Interest Rate Models written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is mainly focused on how to price the interest rate derivatives by stochastic volatility models. We will use CIR model and introduce a new Ito process to the model with fast mean-reverting stochastic volatility to compute the corrections of interest rate derivatives. There is a significant difference of the shape of yield curves between the corrected model and original CIR model. It can also be used to price interest rate derivatives such as bond options.
Book Synopsis Stochastic Volatility Corrections for Interest Rate Models by : Jin Dai
Download or read book Stochastic Volatility Corrections for Interest Rate Models written by Jin Dai and published by . This book was released on 2002 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords: stochastic volatility corrections, Vasicek, CIR.
Book Synopsis Alternative Models for Stochastic Volatility Corrections for Equity and Interest Rate Derivatives by : Tianyu Liang
Download or read book Alternative Models for Stochastic Volatility Corrections for Equity and Interest Rate Derivatives written by Tianyu Liang and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: A lot of attention has been paid to the stochastic volatility model where the volatility is randomly fluctuating driven by an additional Brownian motion. In our work, we change the mean level in the mean-reverting process from a constant to a function of the underlying process. We apply our models to the pricing of both equity and interest rate derivatives. Throughout the thesis, a singular perturbation method is employed to derive closed-form formulas up to first order asymptotic solutions. We also implement multiplicative noise to arithmetic Ornstein-Uhlenbeck process to produce a wider variety of effects. Calibration and Monte Carlo simulation results show that the proposed model outperform Fouque's original stochastic volatility model during some particular window in history. A more efficient numerical scheme, the heterogeneous multi-scale method (HMM), is introduced to simulate the multi-scale differential equations discussed over the chapters.
Book Synopsis An Elementary Introduction to Stochastic Interest Rate Modeling by : Nicolas Privault
Download or read book An Elementary Introduction to Stochastic Interest Rate Modeling written by Nicolas Privault and published by World Scientific. This book was released on 2012 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students. This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.
Book Synopsis A Class of Stochastic Volatility Models for the Term Structure of Interest Rates by : Elisa Nicolato
Download or read book A Class of Stochastic Volatility Models for the Term Structure of Interest Rates written by Elisa Nicolato and published by . This book was released on 1999 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) by : Nicolas Privault
Download or read book Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) written by Nicolas Privault and published by World Scientific. This book was released on 2021-09-02 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.
Book Synopsis Interest Rate Modeling with Stochastic Volatility by : 林冠甫
Download or read book Interest Rate Modeling with Stochastic Volatility written by 林冠甫 and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interest Rate Modeling by : Leif B. G. Andersen
Download or read book Interest Rate Modeling written by Leif B. G. Andersen and published by . This book was released on 2010 with total page 1154 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.
Book Synopsis Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) by : Nicolas Privault
Download or read book Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) written by Nicolas Privault and published by World Scientific. This book was released on 2012-05-04 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students.This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.
Book Synopsis Nonlinear Drift and Stochastic Volatility by : Licheng Sun
Download or read book Nonlinear Drift and Stochastic Volatility written by Licheng Sun and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article I provide new evidence on the role of nonlinear drift and stochastic volatility in interest rate modeling. I compare various model specifications for the short-term interest rate using the data from five countries. I find that modeling the stochastic volatility in the short rate is far more important than specifying the shape of the drift function. The empirical support for nonlinear drift is weak with or without the stochastic volatility factor. Although a linear drift stochastic volatility model fits the international data well, I find that the level effect differs across countries.
Book Synopsis Interest Rate Models with Non-Gaussian Driven Stochastic Volatility by : Jiangchun Bi
Download or read book Interest Rate Models with Non-Gaussian Driven Stochastic Volatility written by Jiangchun Bi and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Elementary Introduction To Stochastic Interest Rate Modeling by : Nicolas Privault
Download or read book An Elementary Introduction To Stochastic Interest Rate Modeling written by Nicolas Privault and published by World Scientific Publishing Company. This book was released on 2008-10-13 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook is written as an accessible introduction to interest rate modeling and related derivatives, which have become increasingly important subjects of interest in financial mathematics. The models considered range from standard short rate to forward rate models and include more advanced topics such as the BGM model and an approach to its calibration. An elementary treatment of the pricing of caps and swaptions under forward measures is also provided, with a focus on explicit calculations and a step-by-step introduction of concepts. Each chapter is accompanied with exercises and their complete solutions, making this book suitable for advanced undergraduate or beginning graduate-level students.
Book Synopsis Interest Rate Models Implied Volatility by : Thomas S.Y. Ho
Download or read book Interest Rate Models Implied Volatility written by Thomas S.Y. Ho and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a one-factor and a two-factor arbitrage-free interest rate models with parsimonious implied volatility functions. The models are empirically tested on the entire swaption surface in three currencies (US dollar, Euro, and Japanese yen) over a 5-year period. They are shown to be robust in explaining the swaption values, and the implied volatility functions are shown to exhibit a three-factor movement in all three currencies. The results show that the observed swaption prices incorporate the market conditional expectations of the correlations of the key interest rates and the stochastic process of the yield curve, and the interest rate models should be calibrated to such market information to provide accurate relative valuation. Further this paper describes a modeling approach that has important implications on hedging interest rate derivatives dynamically taking the stochastic volatility risks into account.
Book Synopsis Stochastic Interest Rate and Stochastic Volatility Models of Currency Futures Options by : Thadavillil Jithendranathan
Download or read book Stochastic Interest Rate and Stochastic Volatility Models of Currency Futures Options written by Thadavillil Jithendranathan and published by . This book was released on 1993 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives by : Jean-Pierre Fouque
Download or read book Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2011-09-29 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.
Book Synopsis Extension of Stocharstic Volatility Models with Hull-White Interest Rate Process by : L.A. Grzelak
Download or read book Extension of Stocharstic Volatility Models with Hull-White Interest Rate Process written by L.A. Grzelak and published by . This book was released on 2008 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Model Incorporating Stochastic Volatility for Pricing Options on Interest Rate Caps by : Vitor Cepelowicz
Download or read book A Model Incorporating Stochastic Volatility for Pricing Options on Interest Rate Caps written by Vitor Cepelowicz and published by . This book was released on 1994 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
