Heath-Jarrow-Morton model
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
A solution for a no-arbitrage condition in Cheyette-style models is proposed
Dynamic refinement of the term structure: time-homogeneous term structure modeling
The author considers a classical term structure model framework, ie, a Heath–Jarrow–Morton framework, on a time-discrete tenor, such as the London Interbank Offered Rate market model, using a sequence of tenor discretizations, where the tenors are valid…
Libor replacement II: completing the generalised FMM
The FMM is upgraded to model the full term structure, pricing all possible bonds and the bank account
Evaluating the credit exposure of interest rate derivatives under the real-world measure
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
A three-factor model on the natural gas forward curve including temperature forecasts
This paper introduces a three-factor model that jointly describes both natural gas forward prices and temperature forecast dynamics.
Derivatives house of the year: Citi
Risk Awards 2017: Simple vision has taken rates business a long way
Wiener chaos expansion and numerical solutions of the Heath–Jarrow–Morton interest rate model
The authors propose an efficient, novel numerical scheme for solving the stochastic Heath–Jarrow–Morton interest rate model.
Choice of collateral currency
Collateral agreements are becoming popular in the over-the-counter derivatives market. Masaaki Fujii and Akihiko Takahashi demonstrate its significant impact on derivatives pricing with a direct link to the cross-currency market. The importance of…
Choice of collateral currency
Choice of collateral currency
Tips options in the Jarrow-Yildirim model
Marc Henrard proposes an explicit pricing formula for inflation bond options using the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the Heath-Jarrow-Morton model
RBC creates new base metals team
RBC Capital Markets has hired a new base metals team to take advantage of the demand for metal futures and options.
Volatile volatilities
When pricing exotic interest rate derivatives, calibration of model parameters to vanilla cap or swaption prices can be especially time-consuming, especially if stochastic volatility is incorporated into the standard Libor market models or low…
HJM with multiples
Term structure of credit
Generalising with HJM
Credit risk
Applying HJM to credit risk
Credit risk