Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets
暂无分享,去创建一个
[1] F. Black. The pricing of commodity contracts , 1976 .
[2] S. Ross,et al. AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICES , 1985 .
[3] D. Heath,et al. Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation , 1990, Journal of Financial and Quantitative Analysis.
[4] Francis A. Longstaff,et al. A nonlinear general equilibrium model of the term structure of interest rates , 1989 .
[5] Robert B. Litterman,et al. Common Factors Affecting Bond Returns , 1991 .
[6] G. Constantinides. A Theory of the Nominal Term Structure of Interest Rates , 1992 .
[7] D. Duffie,et al. A Yield-factor Model of Interest Rates , 1996 .
[8] M. Musiela,et al. The Market Model of Interest Rate Dynamics , 1997 .
[9] K. Singleton,et al. Specification Analysis of Affine Term Structure Models , 1997 .
[10] Jaeho Cho. A Theory of the Term Structure of Interest Rates Under Non-expected Intertemporal Preferences , 1998 .
[11] E. Ghysels,et al. A Semiparametric Factor Model of Interest Rates and Tests of the Affine Term Structure , 1998, Review of Economics and Statistics.
[12] Liuren Wu,et al. Predictable Changes in Yields and Forward Rates , 1998 .
[13] Riccardo Rebonato,et al. On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix , 1999 .
[14] Eduardo S. Schwartz,et al. Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market , 1999 .
[15] A. Pelsser,et al. Forward versus Spot Interest Rate Models of the Term Structure , 2000 .
[16] Eduardo S. Schwartz,et al. The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence , 2000 .
[17] Thomas Little,et al. A PDE method for computing moments , 2000 .
[18] Robert F. Dittmar,et al. Quadratic Term Structure Models: Theory and Evidence , 2000 .
[19] Alan G. White,et al. Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model , 2000 .
[20] Leif Andersen,et al. Factor Dependence of Bermudan Swaption Prices: Fact or Fiction? , 2000 .
[21] P. Collin‐Dufresne,et al. Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility , 2001 .
[22] R. Goldstein,et al. Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework , 2001 .
[23] Liuren Wu,et al. Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? , 2001 .
[24] Gurdip Bakshi,et al. Delta-Hedged Gains and the Negative Market Volatility Risk Premium , 2001 .
[25] Joost Driessen,et al. On the Information in the Interest Rate Term Structure and Option Prices , 2002 .
[26] Leif Andersen,et al. Factor dependence of Bermudan swaptions: fact or fiction?☆ , 2001 .
[27] G. Duffee. Term premia and interest rate forecasts in affine models , 2000 .
[28] Sanjiv Ranjan Das,et al. Pricing Interest Rate Derivatives: A General Approach , 2002 .
[29] M. Subrahmanyam,et al. Pricing and Hedging Interest Rate Options: Evidence from Cap-Floor Markets , 2002 .
[30] P. Klaassen,et al. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions , 2002, Journal of Financial and Quantitative Analysis.
[31] T. Alderweireld,et al. A Theory for the Term Structure of Interest Rates , 2004, cond-mat/0405293.