A Class of Stochastic Volatility HJM Interest Rate Models

SSRN Electronic Journal ◽

10.2139/ssrn.492902 ◽

2004 ◽

Author(s):

Carl Chiarella ◽

David B. Colwell ◽

Oh Kang Kwon

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Interest Rate Models

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Hybrid Equity, FX, and Interest Rate Models with Stochastic Volatility and Jump Diffusion

SSRN Electronic Journal ◽

10.2139/ssrn.1733071 ◽

2010 ◽

Author(s):

Ahsan Amin

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Jump Diffusion ◽

Interest Rate Models

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The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2018.07.048 ◽

2019 ◽

Vol 347 ◽

pp. 49-61 ◽

Author(s):

L. Gómez-Valle ◽

J. Martínez-Rodríguez

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Diffusion Processes ◽

Jump Diffusion ◽

Interest Rate Models ◽

Jump Diffusion Processes ◽

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Nonlinear Drift And Stochastic Volatility: An Empirical Investigation Of Short-Term Interest Rate Models

The Journal of Financial Research ◽

10.1111/1475-6803.00065 ◽

2003 ◽

Vol 26 (3) ◽

pp. 389-404 ◽

Author(s):

Licheng Sun

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Empirical Investigation ◽

Interest Rate Models

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Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

Physical Review E ◽

10.1103/physreve.78.016101 ◽

2008 ◽

Vol 78 (1) ◽

Author(s):

D. Lemmens ◽

M. Wouters ◽

J. Tempere ◽

S. Foulon

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Closed Form ◽

Stochastic Volatility ◽

Path Integral ◽

Integral Approach ◽

Interest Rate Models ◽

Path Integral Approach

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Mean-variance hedging for interest rate models¶with stochastic volatility

Decisions in Economics and Finance ◽

10.1007/s102030200000 ◽

2002 ◽

Vol 25 (1) ◽

pp. 1-17 ◽

Author(s):

Francesca Biagini

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Interest Rate Models ◽

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Stochastic Volatility Interest Rate Models

Encyclopedia of Quantitative Finance ◽

10.1002/9780470061602.eqf11019 ◽

2010 ◽

Author(s):

Jesper Andreasen

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Interest Rate Models

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A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models

The Journal of Computational Finance ◽

10.21314/jcf.2015.305 ◽

2015 ◽

Vol 19 (1) ◽

pp. 1-10 ◽

Author(s):

Riccardo Rebonato

Keyword(s):

Interest Rate ◽

Market Model ◽

Simple Approximation ◽

Interest Rate Models ◽

No Arbitrage ◽

Libor Market Model

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Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models

SSRN Electronic Journal ◽

10.2139/ssrn.128669 ◽

1998 ◽

Author(s):

Les Clewlow ◽

Chris Strickland

Keyword(s):

Interest Rate ◽

Interest Rate Models

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Nonparametric Interest Rate Cap Pricing: Implications for the 'Unspanned Stochastic Volatility' Puzzle

SSRN Electronic Journal ◽

10.2139/ssrn.1328198 ◽

2008 ◽

Author(s):

Tao L. Wu

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Volatility Puzzle

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Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models

SSRN Electronic Journal ◽

10.2139/ssrn.1597890 ◽

2010 ◽

Author(s):

Anatoliy A. Malyarenko ◽

Anatoliy V. Swishchuk

Keyword(s):

Interest Rate ◽

Numerical Solutions ◽

Stochastic Interest Rate ◽

Interest Rate Models ◽

Stochastic Interest ◽

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