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Interest rate convexity in a Gaussian framework.

Authors :
Jacquier, Antoine
Oumgari, Mugad
Source :
Quantitative Finance. Jun2024, Vol. 24 Issue 6, p677-689. 13p.
Publication Year :
2024

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. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*GAUSSIAN processes
*BROWNIAN motion

Details

Language :
English
ISSN :
14697688
Volume :
24
Issue :
6
Database :
Academic Search Index
Journal :
Quantitative Finance
Publication Type :
Academic Journal
Accession number :
178478072
Full Text :
https://doi.org/10.1080/14697688.2024.2356234
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