Record Detail
Advanced SearchText
Dual-curve Hull–White interest rate model with stochastic volatility
The sub-prime mortgage crisis of 2008 had a great effect on the financial market; it led to new market features and regulations. In particular, the dual curve feature has appeared in the over-the-counter market. As a result, the yield curve for computing forward values and the yield curve for discounting are no longer the same due to counterparty default risk. In addition, deleveraging regulation encourages financial institutions to invest in widely known simple products, typically at a single short rate. The classical Hull–White model, which is typically useful for simple interest rate products, is inadequate for the dual-curve situation. This study extends the Hull– White model with stochastic volatility to the dual-curve economy. Analytical solutions are derived for vanilla securities such as risk bearing zero bonds, bond options, and caplets. Our formulas facilitate the calibration of parameters by simultaneously fitting to the dual curves and the implied volatility surfaces
File Attachment
Availability
EB00000003387K | Available |
Detail Information
Series Title |
-
|
---|---|
Call Number |
-
|
Publisher | : ., |
Collation |
-
|
Language | |
ISBN/ISSN |
-
|
Classification |
NONE
|
Content Type |
E-Jurnal
|
Media Type |
-
|
---|---|
Carrier Type |
-
|
Edition |
-
|
Subject(s) | |
Specific Detail Info |
-
|
Statement of Responsibility |
Mei Choi Chiu1 · Wanyang Liang2 · Hoi Ying Wong
|
Other version/related
No other version available
OPAC
RECORD DETAIL
Back To Previous
Hari Lahir Pancasila: Ajang Mengenalkan Keragaman Suku Bangsa Budaya Indonesia
Universitas Jember menggelar Upacara Bendera Peringatan Hari Lahir Pancasila 1 Juni 2024. Upacara kali ini memiliki konsep yang berbeda dari tahun sebelumnya. Jika pada tahun sebelumnya hanya jajaran pimpinan yang menggunakan pakaian adat, namun tahun ini Mahasiwa, Dosen ...
GELORA: Literasi Lingkungan, Mewarnai Masa Depan
Kegiatan Studi Literasi Eksternal hasil kolaborasi UPA Perpustakaan Universitas Jember kembali digelar pada tanggal 21-22 Juni 2024. Studi Literasi Eksternal kali ini menggunakan istilah yang berbeda yaitu GELORA (Gerakan Literasi dan Donasi Buku). Kegiatan Literasi yang berbentuk ...
BENGKEL SASTRA: MENGASAH BAKAT KEPENULISAN PUISI SANTRI JEMBER
Selasa (28/5), Santri se-Kabupaten Jember melakukan Library Tour di UPA Perpustakaan Universitas Jember. Kegiatan ini termasuk dalam serangkaian acara Bengkel Sastra yang dilaksanakan oleh Balai Bahasa Provinsi Jawa Timur. Kegiatan Bengkel Sastra dengan Tema “Penulisan Puisi Bagi Santri ...