Stochastic volatility functions implicit in eurodollar futures options

Article Abstract:

Estimates of stochastic volatility models are unstable for some of the evaluated parameters and vary substantially through time. Moreover, the most ideal hedging application model is the Geometric Brownian Motion (GBM), which provides the best performance in terms of prediction errors for horizons of one week. The GBM specification's implied volatility estimates are consistent with mean realized volatility over the sample period of one week. However, the model provides little information about variation in the realized volatility.

Economic aspects, Euro (Currency), Futures

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A two-mean reverting-factor model of the term structure of interest rates

Article Abstract:

The article compares two methods of setting prices on derivatives and other special types of bonds.

Commodity & service prices, Spain, Prices and rates, Bonds, Bonds (Securities), Company pricing policy

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Multifactor implied volatility functions for HJM models

Article Abstract:

Multifactor interest rate models, which examine options trading volatility, are proposed.

United Kingdom, Taiwan, Analysis, Options (Finance)

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