scholarly journals Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time

2012 ◽  
Author(s):  
Beyna Ingo ◽  
Carl Chiarella ◽  
Boda Kang
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Hjm Model

scholarly journals Apreçamento de Opções Asiáticas de Taxa de Juros através de um Modelo HJM de Três Fatores

2010 ◽  
Vol 8 (1) ◽  
pp. 9
Author(s):  
Claudio Henrique Barbedo ◽  
Octávio Bessada Lion ◽  
Jose Valentim Machado Vicente
Keyword(s):  
Interest Rate ◽  
Standard Procedure ◽  
Over The Counter ◽  
Interest Rate Derivatives ◽  
Market Participants ◽  
Hjm Model ◽  
Derivative Instruments ◽  
Pricing Error ◽  
Risk Managers

Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable information from derivative instruments. We use a standard procedure to implement the HJM model and to price IDI options. We intend to assess the importance of the principal components of pricing and interest rate hedging derivatives in Brazil, one of the major emerging markets. Our results indicate that the HJM model consistently underprices IDI options traded in the over-the-counter market while it overprices long-term options traded in the exchange studied. We also find a direct relationship between time to maturity and pricing error and a negative relation with moneyness.

scholarly journals Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model

2010 ◽  
Vol 13 ◽  
pp. 208-221 ◽  
Author(s):  
Mariko Ninomiya
Keyword(s):  
Interest Rate ◽  
Random Variables ◽  
Factor Models ◽  
Higher Order ◽  
Weak Approximation ◽  
Interest Rate Derivatives ◽  
Hjm Model ◽  
Discrete Random Variables

AbstractThis paper demonstrates the application of a new higher-order weak approximation, called the Kusuoka approximation, with discrete random variables to non-commutative multi-factor models. Our experiments show that using the Heath–Jarrow–Morton model to price interest-rate derivatives can be practically feasible if the Kusuoka approximation is used along with the tree-based branching algorithm.

A multi-factor Markovian HJM model for pricing American interest rate derivatives

2007 ◽  
Vol 31 (4) ◽  
pp. 359-378 ◽  
Author(s):  
Marat V. Kramin ◽  
Saikat Nandi ◽  
Alexander L. Shulman
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Hjm Model ◽  
American Interest

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

2009 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson ◽  
Asif Lakhany
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Pricing Framework

GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model

2010 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson
Keyword(s):  
Interest Rate ◽  
Foreign Exchange ◽  
Interest Rate Derivatives ◽  
Foreign Exchange Volatility

Pricing Interest Rate Derivatives with Multilinear Interpolations and Transition Densities

2012 ◽  
Author(s):  
Hatem Ben Ameur ◽  
Lotfi Karoui ◽  
Walid Mnif
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Transition Densities

Board Composition and Corporate Investment in Interest Rate Derivatives

2001 ◽  
Author(s):  
Kenneth A. Borokhovich ◽  
Kelly R. Brunarski ◽  
Claire E. Crutchley ◽  
Betty J. Simkins
Keyword(s):  
Interest Rate ◽  
Corporate Investment ◽  
Board Composition ◽  
Interest Rate Derivatives
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