search query: @indexterm OPERATIONAL RESEARCH / total: 1454
reference: 146 / 1454
| Author: | Mercurio, F. Moraleda, J. |
| Title: | An analytically tractable interest rate model with humped volatility |
| Journal: | European Journal of Operational Research
2000 : JAN 1, VOL. 120:1, p. 205-214 |
| Index terms: | OPERATIONAL RESEARCH INTEREST RATES VOLATILITY |
| Language: | eng |
| Abstract: | Some of the most recent empirical studies on interest rate derivatives have found humped shapes in the volatility structure of interest rates. However, this realistic feature has been hardly addressed in theoretical works. In this paper, the authors propose an interest rate model which allows for a humped volatility structure and which is analytically tractable, in that it leads to explicit formulae for European options on discount bonds. Empirical evidence supporting the model is also provided. |
SCIMA