Interest rate convexity in a Gaussian framework
Pricing of Securities
2024-03-14 v2 Probability
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.
Cite
@article{arxiv.2307.14218,
title = {Interest rate convexity in a Gaussian framework},
author = {Antoine Jacquier and Mugad Oumgari},
journal= {arXiv preprint arXiv:2307.14218},
year = {2024}
}
Comments
17 pages, 12 figures