QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
A framework for rates that links real-world and risk-neutral measures is presented
A solution for a no-arbitrage condition in Cheyette-style models is proposed
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…
The FMM is upgraded to model the full term structure, pricing all possible bonds and the bank account
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
This paper introduces a three-factor model that jointly describes both natural gas forward prices and temperature forecast dynamics.
Risk Awards 2017: Simple vision has taken rates business a long way
The authors propose an efficient, novel numerical scheme for solving the stochastic Heath–Jarrow–Morton interest rate model.
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
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 Capital Markets has hired a new base metals team to take advantage of the demand for metal futures and options.
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…
Term structure of credit