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On the valuation of compositions in Lévy term structure models
Time-inhomogeneous L´ evy process forward rate model forward price model option on composition Fourier transform
2010/10/29
We derive explicit valuation formulae for an exotic pathdependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for ...
Fractional term structure models: No-arbitrage and consistency
Fractional term structure models No-arbitrage consistency
2010/12/13
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under pro...
Estimating affine multifactor term structure models using closed-form likelihood expansions
Term structure Multifactor Interest rates Affine Closed-form maximum-likelihood
2014/3/13
We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nineDai and Singlet...
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Multivariate Feller conditions structure models care
2010/12/17
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate ...