{"title":"Interest rate convexity in a Gaussian framework","authors":"Antoine Jacquier, Mugad Oumgari","doi":"arxiv-2307.14218","DOIUrl":null,"url":null,"abstract":"The contributions of this paper are twofold: we define and investigate the\nproperties of a short rate model driven by a general Gaussian Volterra process\nand, after defining precisely a notion of convexity adjustment, derive explicit\nformulae for it.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"12 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Pricing of Securities","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2307.14218","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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.