Vol-Bond: an analytical solution

Roberto Baviera

Quantitative Finance, 2003, vol. 3, issue 4, 285-287

Abstract: We find an analytical solution of the Vol-Bond according to the multi-factor Gaussian Heath-Jarrow-Morton model. We show how to calibrate the model with market data. This solution allows complete (and fast) control of this class of derivatives and of their sensitivities.

Date: 2003
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DOI: 10.1088/1469-7688/3/4/304

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