Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

By V. Gorovoi, Vadim Linetsky. 2004

133 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8e30b163403279efbb748cfa7e643b12795d00c8

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Citations in the corpus

A multi-quality model of interest rates (2009, background): “Also, although some recent papers such as Gorovoi and Linetsky (2004) and Kabanov et al. (2007) proposed one-factor short-rate models to fit the low-interest-rate economy, their models are not easy to calibrate. zThis is the day of first issuance of 40-year JGB auctioned by the Ministry of Finance,…”
Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2012, unknown): “Gorovoi and Linetsky (2004) provide analytical solutions for bond prices in the one-factor cases where s t follows a Gaussian or square-root process.”
A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound (2014, unknown): “Gorovoi and Linetsky (2004) model the shadow rate as a Vasicek process and apply it to the Japanese government bonds (JGB) data, reporting a good fit of the Japanese term structure.”
A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models (2013, unknown): “For example, even the simplest Black-GATSM, the one-factor BlackVasicek (1977) model investigated in Gorovoi and Linetsky (2004), does not result in a closed-form analytic solution.”
DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE (2014, methodology): “In turn, the technique of Gorovoi and Linetsky (2004) is based on a well-known observation (e.g., Gikhman and Skorohod 1972) that the transition density satisfies a partial differential equation and can be constructed by means of an eigenfunction expansion in the corresponding Sturm-Liouville…”
Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2013, methodology): “Gorovoi and Linetsky (2004) derive quasi-analytical bond price formulas for the case of one-factor Gaussian and square-root shadow-rate models.2 Unfortunately, their results do not extend to multidimensional models. Instead, the small set of previous research on shadow-rate models has relied on nume”
Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates (2014, unknown): “…model using a nonlinear perfect foresight algorithm, as in Reifschneider and Williams (2000), which solves for the impulse response functions of the model to an output or inﬂation shock under the assumption that the private sector assumes that realized values of all future innovations will be zero.”
THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004, unknown): “Keywords: Option pricing; barrier options; diffusion processes; spectral expansion; Sturm–Liouville equation.”
THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (2007, unknown): “…where the eigenfunction expansion technique is applied to pricing derivative securities, is fairly extensive – see Lewis (1998, 1999), Linetsky (1999, 2004a-2004e), Davidov and Linetsky (2003), Gorovoi and Linetsky (2004), Pelsser (2000), Albanese and Kuznetsov (2004) and the bibliography therein.”
Measuring the Stance of Monetary Policy in Zero Lower Bound Environments (2013, unknown): “The remaining sub- gures plot the divergences (not changes in divergences) between the two frameworks when the given parameter changes are made while holding the other parameters at their Gorovoi and Linetsky (2004) values.”
Self Exciting Threshold Interest Rates Models (2006, methodology): “We refer to Gorovoi and Linetsky (2004) and Linetsky (2004) for a complete account on pricing semi-groups.”