Hölzermann, Julian: Term Structure Modeling and the Pricing of Interest Rate Derivatives under Volatility Uncertainty. 2021
Inhalt
- Acknowledgements
- Abstract
- Introduction
- Volatility Uncertainty
- Volatility in Mathematical Finance
- Model Uncertainty and Robust Finance
- Mathematics of Volatility Uncertainty
- The Hull-White Model
- Short Rate Dynamics
- Related Bond Market
- Martingale Modeling
- Equivalent Sublinear Expectations
- Arbitrage-Free Term Structure
- Yield Curve Fitting
- Multifactor Extension
- Equilibrium and Empirical Analysis
- The Heath-Jarrow-Morton Model
- Term Structure Movements
- Arbitrage-Free Forward Rate Dynamics
- Robust Versions of Classical Term Structures
- The Ho-Lee Term Structure
- The Hull-White Term Structure
- The Vasicek Term Structure
- Economic Consequences
- Admissible Integrands for the Forward Rate
- Regularity of the Discounted Bonds
- Pricing Interest Rate Derivatives
- Arbitrage-Free Bond Market
- Risk-Neutral Valuation
- Pricing Single Cashflows
- Pricing a Stream of Cashflows
- Common Interest Rate Derivatives
- Fixed Coupon Bonds
- Floating Rate Notes
- Interest Rate Swaps
- Swaptions
- Caps and Floors
- In-Arrears Contracts
- Market Incompleteness
- Estimates for the Proofs
- Conclusion
- G-Brownian Motion Calculus
- Sublinear Expectation Spaces
- G-Normal Distribution
- G-Brownian Motion
- Stochastic Integrals
- Quadratic Variation
- Bibliography