Pricing Interest Rate Derivatives: A General Approach

By George K. Chacko, Sanjiv Ranjan Das. 2002

155 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/e05c79c9f1ab3d9f80028df7cafd587aeffd6638

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

Citations in the corpus

Spectral GMM Estimation of Continuous-Time Processes (2003, unknown): “This has important economic implications; for example, Chacko and Viceira (1999) show that portfolio choice decisions can be very sensitive to the mean reversion parameter.”
Jackknifing Bond Option Prices (2005, unknown): “…the dominant class of term structure models [e.g., Duffie and Kan (1996), Dai and Singleton (2000)], the affine jump-diffusion models [Duffie, Pan and Singleton (2000), Chacko and Das (2002)], semi-affine models [Duffee (2002), Duarte (2004)], and regime switching model [Bansal and Zhou (2002)].”
Generalized Transform Analysis of Affine Processes and Applications in Finance (2012, unknown): “3 Other articles that take this approach include Heston (1993), Chen and Scott (1995), Bates (1996), Bakshi and Chen (1997), Bakshi, Cao, and Chen (1997), Chacko and Das (2002), Dumas, Kurshev, and Uppal (2009), and Buraschi, Trojani, and Vedolin (2010), among others.”
CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (2011, unknown): “Investors may use volatility derivatives to perform directional trading of volatility levels, say, trading the spread between the realized and implied volatility levels, or hedging an implicit volatility exposure.”
The Surprise Element: Jumps in Interest Rates (2002, unknown): “Also for affine jumpdiffusion models, see Das and Foresi [41], Chacko [29], Chacko and Das [30], Duffie, Pan and Singleton [48], Pan [71].”
Term Structure Dynamics in Theory and Reality (2003, background): “Das and Foresi (1996) and Chacko and Das (2002) present illustrative examples of affine bond and bond-option pricing models with jumps.”
Option Pricing Under a Double Exponential Jump Diffusion Model (2004, background): “2000, Chacko and Das 2002), which include stochastic volatility and jumps in the volatility, and of Lévy processes, which have independent increments but with more general distributions. Whether the double exponential jump diffusion model is suitable for modeling purposes is ultimately a choice betw”
THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (2007, unknown): “If Xt is a Lévy-driven process of Ornstein-Uhlenbeck type, then ATSM models are (almost) as tractable as purely Gaussian ones (see Duffie et al (2000), Dai and Singleton (2000) and Chacko and Das (2002), Duffie et al. (2003)).”
Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2005, unknown): “Assuming that the state variables follow affine diffusions, affine models can generate rich term structure dynamics while still allowing closed-form pricing for a wide variety of fixed-income securities [e.g., Duffie, Pan, and Singleton (2001), and Chacko and Das (2002)].”
The Term Structure of Simple Forward Rates with Jump Risk (2000, background): “Bond options are often tractable in affine jump-diffusion models; see Chacko and Das [18], Das and Foresi [23], and Duffie, Pan, and Singleton [27].”