{"title":"高斯框架下的利率凸性","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":"{\"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}","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}
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.
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