Consider continuous time bond pricing model for zero coupon bonds.
Optimal replication of random claims by ordinary integrals with applications in finance
In order to highlight some essential features of funding costs these works focus on particularly simple products, such as zero coupon bonds or loans.
Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
Y0 is a L´evy process taking values in a Hilbert space with inner product h·, ·i, σ is a deterministic volatility term, and f is such that discounted prices of zero-coupon bonds are local martingales.
Well-posedness and invariant measures for HJM models with deterministic volatility and L\'evy noise
Let P (t, Ti ) denote the value at time t of a zero coupon bond with maturity Ti ∈ [0, T ].
Weak and Strong Taylor methods for numerical solutions of stochastic differential equations
We analyzed qualitative properties of the approximation formula for pricing zero coupon bonds due to Choi and Wirjanto (1).
Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
We furthermore proposed a higher order approximation formula for pricing zero coupon bonds.
Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
Wirjanto: An analytic approximation formula for pricing zero coupon bonds.
On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures
Stehl´ıkov´a and D. ˇSevˇcoviˇc: Approximate formulae for pricing zero coupon bonds and their asymptotic analysis, to appear in: International J.
On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility.
On the singular limit of solutions to the CIR interest rate model with stochastic volatility
In the L´evy forward rate framework for modeling the term structure of interest rates, the dynamics of forward rates are speciﬁed and the prices of zero coupon bonds are then deduced.
On the valuation of compositions in L\'evy term structure models
Px (t, T ) denotes the price at time t ≥ t0 of the Mx -zero coupon bond for maturity T , such that Px (T , T ) = 1.
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Notice that in eq. 62 for K = 0 and T1 = t we recover the zero coupon bond price in eq.
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
In (Akahori and Tsuchiya, 2006), the state price density approach1 is applied and by means of transition probability densities of some L´evy processes explicit expressions of the zero coupon bond prices are obtained.
A Heat Kernel Approach to Interest Rate Models
Tγ (t) is is the ﬁrst Tj following t and P (t, T ) = Et [ D(t, T ) ] is the zero coupon bond price at time t for maturity T consistent with the stochastic discount factors D.
Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
In this section we derive a fairly general pricing formula for zero coupon bonds.
The Wishart short rate model
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