Deep Option Pricing - Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.3498398 ◽

2019 ◽

Author(s):

Joerg Kienitz ◽

Sarp Kaya Acar ◽

Qian Liang ◽

Nikolai Nowaczyk

Keyword(s):

Option Pricing ◽

Term Structure ◽

Term Structure Models

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Consistency Conditions for Affine Term Structure Models II. Option Pricing Under Diffusions with Embedded Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.627622 ◽

2004 ◽

Author(s):

Sergei Z. Levendorskii

Keyword(s):

Option Pricing ◽

Term Structure ◽

Affine Term Structure ◽

Consistency Conditions ◽

Affine Term Structure Models ◽

Term Structure Models

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American bond option pricing in one-factor dynamic term structure models

Review of Derivatives Research ◽

10.1007/bf01531144 ◽

1996 ◽

Vol 1 (3) ◽

pp. 245-267 ◽

Author(s):

Peter L�chte J�rgensen

Keyword(s):

Option Pricing ◽

Term Structure ◽

Term Structure Models ◽

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Point-in-time probability of default term structure models for multiperiod scenario loss projection

The Journal of Risk Model Validation ◽

10.21314/jrmv.2017.164 ◽

2017 ◽

Author(s):

Bill Huajian Yang

Keyword(s):

Term Structure ◽

Probability Of Default ◽

Term Structure Models

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An Empirical Evaluation of the Estimation of Affine Term Structure Models: How Invariant Affine Transformations and Rotations Lead to Improved Empirical Performance

SSRN Electronic Journal ◽

10.2139/ssrn.1361050 ◽

2009 ◽

Author(s):

Januj Juneja

Keyword(s):

Term Structure ◽

Empirical Evaluation ◽

Affine Transformations ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Empirical Performance

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Vix Option Pricing and Cboe Vix Term Structure: A New Methodology for Volatility Derivatives Valuation

SSRN Electronic Journal ◽

10.2139/ssrn.1460845 ◽

2009 ◽

Author(s):

Yueh-Neng Lin

Keyword(s):

Option Pricing ◽

Term Structure ◽

Volatility Derivatives

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Risk Premia and Wishart Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.1573184 ◽

2010 ◽

Author(s):

Carl Chiarella ◽

Chih-Ying Hsiao ◽

Thuy Duong To

Keyword(s):

Term Structure ◽

Risk Premia ◽

Term Structure Models

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Affine Jump Term Structure Models: Statistical Tests, Expectation Puzzles and Conditional Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1784438 ◽

2011 ◽

Author(s):

Zhaogang Song ◽

Haitao Li

Keyword(s):

Term Structure ◽

Statistical Tests ◽

Conditional Volatility ◽

Term Structure Models

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Term Structure Models with Differences in Beliefs (Online Appendix)

SSRN Electronic Journal ◽

10.2139/ssrn.2050468 ◽

2011 ◽

Author(s):

Andrea Buraschi ◽

Paul Whelan

Keyword(s):

Term Structure ◽

Term Structure Models ◽

Online Appendix

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Algorithms behind Term Structure Models of Interest Rates II: The Hull-White Trinomial Tree of Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.292223 ◽

2001 ◽

Author(s):

Markus Leippold ◽

Zvi Wiener

Keyword(s):

Interest Rates ◽

Term Structure ◽

Term Structure Models ◽

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Interest Rate Risk in the Banking Book: Management with Discrete-time Affine ℚ Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.3395595 ◽

2019 ◽

Author(s):

Andreas Bloechlinger

Keyword(s):

Interest Rate ◽

Term Structure ◽

Discrete Time ◽

Interest Rate Risk ◽

Term Structure Models ◽

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