Interest Rate Derivative Securities

2013 ◽  
pp. 277-345
Author(s):  
You-lan Zhu ◽  
Xiaonan Wu ◽  
I-Liang Chern ◽  
Zhi-zhong Sun
Keyword(s):  
Interest Rate ◽  
Derivative Securities ◽  
Interest Rate Derivative

Pricing Interest-Rate-Derivative Securities

1990 ◽  
Vol 3 (4) ◽  
pp. 573-592 ◽  
Author(s):  
John Hull ◽  
Alan White
Keyword(s):  
Interest Rate ◽  
Derivative Securities ◽  
Interest Rate Derivative

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.

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