The Term Structure of Simple Forward Rates with Jump Risk

By Paul Glasserman, Steven Kou. 2000

194 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9139281d46ecfa88875e204eab4b55fc2eb64c8b

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Citations in the corpus

Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007, methodology): “…call and put options, but also leads to a variety of closed form solutions for path-dependent options, such as barrier options, lookback options, perpetual American options (see Kou and Wang, 2003, 2004; Kou et al., 2005), as well as interest rate derivatives (see Glasserman and Kou, 2003).”
Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities (2004, methodology): “Glasserman & Kou (2003) use the framework of Björk et al. (1997) to develop a class of interest-rate models with jumps.”
First passage times of a jump diffusion process (2003, methodology): “To get analytically tractable models, and to incorporate both the leptokurtic feature and the ‘volatility smile’, the double exponential jump diffusion model is proposed in [18]; see also [12] for pricing of interest rate derivatives under such a model and more background about general jump diffusio”
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation (2003, methodology): “Glasserman and Kou [7] studied an alternative approach to introducing smiles and skews by using a jumpdiffusion process.”
Extended Libor Market Models with Stochastic Volatility (2001, unknown): “In another line of research, Glasserman and Kou (1999) and Jamshidian (1999) instead extend the Libor market model to incorporate jumps in forward rates curves.”