The implied jump risk of LIBOR rates
نویسندگان
چکیده
منابع مشابه
Jump and Volatility Risk Premiums Implied by VIX
An estimation method is developed for extracting the latent stochastic volatility from VIX, a volatility index for the S&P 500 index return produced by the Chicago Board Options Exchange (CBOE) using the so-called model-free volatility construction. Our model specification encompasses all mean-reverting stochastic volatility option pricing models with a constant-elasticity of variance and those...
متن کاملModels of Forward LIBOR and Swap Rates
The backward induction approach is systematically used to produce various models of forward market rates. These include the lognormal model of forward LIBOR rates examined in Miltersen et al. (1997) and Brace et al. (1997), as well as the lognormal model of ((xed-maturity) forward swap rates proposed by Jamshidian (1996, 1997). The valuation formulae for European caps and swaptions are given. I...
متن کاملThe Term Structure of Simple Forward Rates with Jump Risk
This paper characterizes the arbitrage-free dynamics of interest rates, in the presence of both jumps and diffusion, when the term structure is modeled through simple forward rates (i.e., through discretely compounded forward rates evolving continuously in time) or forward swap rates. Whereas instantaneous continuously compounded rates form the basis of most traditional interest rate models, si...
متن کاملNumerical solution of jump-diffusion LIBOR market models
This paper develops, analyzes, and tests computational procedures for the numerical solution of LIBOR market models with jumps. We consider, in particular, a class of models in which jumps are driven by marked point processes with intensities that depend on the LIBOR rates themselves. While this formulation offers some attractive modeling features, it presents a challenge for computational work...
متن کاملAddendum to “Numerical Solution of Jump-Diffusion LIBOR Market Models”
This addendum provides a detailed proof of Theorem 6.1 in Glasserman and Merener [1], establishing the convergence order of a discretization scheme.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2005
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2004.09.004