scholarly journals An Arbitrage-Free Nelson-Siegel Term Structure Model with Stochastic Volatility for the Determination of Currency Risk Premia

2014 ◽  
Author(s):  
Sarah Mouabbi
Keyword(s):  
Stochastic Volatility ◽  
Term Structure ◽  
Risk Premia ◽  
Structure Model ◽  
Currency Risk ◽  
Term Structure Model

Martingales versus PDEs in finance: an equivalence result with examples

2000 ◽  
Vol 37 (04) ◽  
pp. 947-957 ◽  
Author(s):  
David Heath ◽  
Martin Schweizer
Keyword(s):  
Stochastic Volatility ◽  
Term Structure ◽  
Sufficient Conditions ◽  
Stochastic Volatility Model ◽  
Structure Model ◽  
Term Structure Model ◽  
Volatility Model ◽  
Equivalence Result

We provide a set of verifiable sufficient conditions for proving in a number of practical examples the equivalence of the martingale and the PDE approaches to the valuation of derivatives. The key idea is to use a combination of analytic and probabilistic assumptions that covers typical models in finance falling outside the range of standard results from the literature. Applications include Heston's stochastic volatility model and the Black-Karasinski term structure model.

Pricing electricity swaptions under a stochastic volatility term structure model

2013 ◽  
Vol 6 (4) ◽  
pp. 43-67
Author(s):  
Rikard Green ◽  
Karl Larsson ◽  
Marcus Nossman
Keyword(s):  
Stochastic Volatility ◽  
Term Structure ◽  
Structure Model ◽  
Term Structure Model

scholarly journals Risk Premia and Volatilities in a Nonlinear Term Structure Model

2016 ◽  
pp. rfw052 ◽  
Author(s):  
Peter Feldhütter ◽  
Christian Heyerdahl-Larsen ◽  
Philipp Illeditsch
Keyword(s):  
Term Structure ◽  
Nonlinear Term ◽  
Risk Premia ◽  
Structure Model ◽  
Term Structure Model

Risk Premia, Volatilities, and Sharpe Ratios in a Non-Linear Term Structure Model

2013 ◽  
Author(s):  
Peter Feldhütter ◽  
Christian Heyerdahl-Larsen ◽  
Philipp K. Illeditsch
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Linear Term ◽  
Structure Model ◽  
Term Structure Model ◽  
Non Linear ◽  
Sharpe Ratios
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