Interest Rate Volatility: A Consol Rate Approach
نویسندگان
چکیده
منابع مشابه
Black's Consol Rate Conjecture
This paper con rms a version of a conjecture by Fischer Black regarding consol rate models for the term structure of interest rates. A consol rate model is one in which the stochastic behavior of the short rate is in uenced by the consol rate. Since the consol rate is itself determined, via the usual discounted present value formula, by the short rate, such models have an inherent xed point asp...
متن کاملAn Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options
T paper proposes an extreme value approach to estimating interest-rate volatility, and shows that during the extreme movements of the U.S. Treasury market the volatility of interest-rate changes is underestimated by the standard approach that uses the thin-tailed normal distribution. The empirical results indicate that (1) the volatility of maximal and minimal changes in interest rates declines...
متن کاملInterest Rate Option Pricing With Volatility Humps
This paper develops a simple model for pricing interest rate options. Analytical solutiorls are developed for European claims and extremely efficient algorithms exist for tile pricing of American opciolls. T h e interest rate claims are priced in the Heath-Jarrow-klorto~i paradigm, and hence illcorporate full information on the term structure. T h e volatility. structure for forward rates is hu...
متن کاملInterest rate exposure of volatility portfolios
Carmine De Franco, PhD Quantitative analyst [email protected] Bruno Monnier, CFA Quantitative analyst [email protected] Ksenya Rulik, PhD, CFA Head of Quantitative Research [email protected] We assess the exposure of stock portfolios sorted by total volatility to interest rate risk and determine whether this non-equity risk can explain differences in risk and risk-adjust...
متن کاملAn Equity-Interest Rate hybrid model with Stochastic Volatility and the interest rate smile
We define an equity-interest rate hybrid model in which the equity part is driven by the Heston stochastic volatility [Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02]. We assume a non-zero correlation between the main processes. By an appropriate change of measure the dimension of the corresponding pricing PDE can be gre...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2015
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2015.51006