scholarly journals Derivative Pricing for a Multi-Curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model

2016 ◽  
Author(s):  
Zorana Grbac ◽  
Meneghello Laura
Keyword(s):  
Derivative Pricing ◽  
Rate Model ◽  
Curve Extension

scholarly journals BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL

2019 ◽  
Vol 22 (05) ◽  
pp. 1950027
Author(s):  
ROBERTO BAVIERA
Keyword(s):  
Interest Rate ◽  
Derivative Securities ◽  
Rate Model ◽  
Elementary Model ◽  
Interest Rate Derivatives ◽  
Proposed Model ◽  
Interest Rate Model ◽  
Interest Rate Derivative ◽  
Curve Extension ◽  
Two Parameter

We propose an elementary model in multi-curve setting that allows to price with simple exact closed formulas European swaptions. Swaptions can be both physical delivery and cash-settled ones. The proposed model is very parsimonious: it is a three-parameter multi-curve extension of the two-parameter J. Hull & A. White (1990) [Pricing interest-rate-derivative securities. Review of Financial Studies 3(4), 573–592] model. The model allows also to obtain simple formulas for all other plain vanilla Interest Rate derivatives and convexity adjustments. Calibration issues are discussed in detail.

Improved Aero/Hydro Flow-Rate Model Using Acoustics

2018 ◽  
Vol 59 (4) ◽  
pp. 429-438
Author(s):  
Muralidhar Seshadri ◽  
◽  
Jonathan B. Freund ◽  
Pranab N. Jha ◽  
Atchyuta Ramayya Venna ◽  
...  
Keyword(s):  
Flow Rate ◽  
Rate Model

Application of the Heath-Platen Estimator in the Fong-Vasicek Short Rate Model

2017 ◽  
Author(s):  
Sema Coskun ◽  
Ralf Korn ◽  
Sascha Desmettre
Keyword(s):  
Rate Model
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