Interest rate convexity in a Gaussian framework
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2023
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| _version_ | 1866909135282372608 |
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| author | Jacquier, Antoine Oumgari, Mugad |
| author_facet | Jacquier, Antoine Oumgari, Mugad |
| contents | The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of convexity adjustment, derive explicit formulae for it. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2307_14218 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Interest rate convexity in a Gaussian framework Jacquier, Antoine Oumgari, Mugad Pricing of Securities Probability 60G15, 91-10 The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of convexity adjustment, derive explicit formulae for it. |
| title | Interest rate convexity in a Gaussian framework |
| topic | Pricing of Securities Probability 60G15, 91-10 |
| url | https://arxiv.org/abs/2307.14218 |