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Paper / 2022SMQ / 223754999071924
Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
Lech A. Grzelak
interest rates / term structure modelsResource overview

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities

Paper2022

by Lech A. Grzelak

Tags
interest ratesterm structure models

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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