Interest rate convexity in a Gaussian framework

2023/07/26 by Jacquier, Antoine, Oumgari, Mugad
#60G15 #91-10 #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR)

paper · doi:10.48550/arxiv.2307.14218

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.

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