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The Volterra Stein-Stein model with stochastic interest rates
Donatien Hainaut / Edouard Motte / Eduardo Abi Jaber
interest rates / mathematical financeResource overview

The Volterra Stein-Stein model with stochastic interest rates

Paper2025

by Donatien Hainaut, Edouard Motte, Eduardo Abi Jaber

Tags
interest ratesmathematical financeoption pricingstochastic processes

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Suggested foundations for options and derivatives pricing and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

  3. Conditional Expectation

    Understand what it means to condition on current information.

  4. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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