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Short Rate Model
  • Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models For many interest rate exotic options, for example options on the slope of the yield curve or American featured options, a one factor assumption for term structure evolution is inappropriate. These options derive their value from changes in the slope or curvature of the yield curve and hence are more realistically priced with multiple factor models. However, efficient construction of short rate trees becomes computationally intractable as we increase the number of factors and in particular as we move to non-Markovian models In this paper we describe a general framework for pricing a wide range of interest rate exotic options under a very general family of multi-factor Gaussian interest rate models. Our framework is based on a computationally efficient implementation of Monte Carlo integration utilising analytical approximations as control variates. These techniques extend the analysis of Clewlow, Pang, and Strickland [1997] for pricing interest rate caps and swaptions. , L. Clewlow, C. Strickland (2009)
  • Efficient swaptions price in Hull-White one factor model The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It is therefore very important to have very efficient pricing formula for simple instruments. Such a formula is proposed here for European swaption. Based on a very efficient corrector type approximation the approximation is efficient both in term of precision and in term of spped. In our implementation the approximation is more than ten time faster than the direct pricing formula and more than twenty time faster than the Jamshidian trick. , M.Henrard (2009)
  • Interest Rate Derivatives : Lecture notes , G. West (2007)
  • A multifactor, stochastic volatility HJM model in a low dimensional markov representation: theory over view and implementation details , M.Dirkmann (2006)
  • Pricing Swaptions and Coupon Bond Options in Affine Term Structure Models , D.Schrager, A.Pelsser (2006)
  • On the discretization schemes for the CIR (and Bessel squared) processes , A.Alfonsi (2005)
  • An Investigation of Various Interest Rate Models and their Calibration in the SA Market , S.Svoboda (2005)
  • Option Pricing in HJM Model using an Asymptotic Expansion Method , A.Takahashi, S.Matsushima (2004)
  • Couverture des risques dans les march?s financiers , N. El karoui (2004)
  • Interest Rate Model Calibration and Risk-Management Using Semidefinite Programming , A.d Apresmont (2003)
  • Yield Curve Modelling with Skews and Stochastic Volatility , L.Andersen, J.Andreasen (2002)
  • Numerical Implementation of Hull-White Interest Rate Model: Hull-White Tree vs Finite Differences , A.Sepp (2002)
  • On deterministic-shift extensions of short-rate models , D. Brigo, F. Mercurio (2001)
  • The General Hull-White Model and Super Calibration , J.Hull, A.White (2000)
  • Markov-Functional Interest Rate Models , P.J.Hunt, J.Kennedy, A.Pelsser (1999)
  • Markov Representation of the Heath-Jarrow-Morton Model , O. Cheyette (1999)
  • Using Hull-White interest rate trees , J.Hull, A.White (1996)

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