Interest rate convexity in a Gaussian framework
File(s)
Published version
Author(s)
Jacquier, Antoine
Oumgari, Mugad
Type
Journal Article
Abstract
The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of convexity adjustment, derive explicit formulae for it.
Date Issued
2024-06-01
Date Acceptance
2024-05-11
Citation
Quantitative Finance, 2024, 24 (6), pp.677-689
ISSN
1469-7688
Publisher
Taylor and Francis Group
Start Page
677
End Page
689
Journal / Book Title
Quantitative Finance
Volume
24
Issue
6
Copyright Statement
© 2024 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricteduse, distribution, and reproduction in any medium, provided the original work is properly cited. The terms on which this article has been published allow the posting of theAccepted Manuscript in a repository by the author(s) or with their consent.
License URL
Identifier
10.1080/14697688.2024.2356234
Subjects
Business & Economics
Business, Finance
Convexity adjustment
Economics
Fractional Brownian motion
Interest rates
Mathematical Methods In Social Sciences
Mathematics
Mathematics, Interdisciplinary Applications
Physical Sciences
Science & Technology
Social Sciences
Social Sciences, Mathematical Methods
Publication Status
Published
Date Publish Online
2024-06-13