Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
type: Dataset
description: This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (Hazard Rate Function). We make no assumption on the volatility of the yield. We actually calculate the initial value of the forward yield, we calculate the volatility of the yield, and we write the diffusion of the yield. As direct application we price options on Constant Maturity Treasury (CMT) in the Hull and White Model for the short interest rate. Tests results with Caps and Floors on 10 years constant maturity treasury (CMT10) are satisfactory. This work can also be used for pricing options on bonds or forward bonds.
issued: 2026-05-21T07:01:46.732685
language: en
modified: 2026-05-21T07:01:46.732691
contact point: Organization
  fn: CCSD
keyword: bonds
keyword: cms
keyword: cmt
keyword: convexity-adjustment
keyword: hazard-rate-function
keyword: infoeu-reposemanticspreprint
keyword: interest-rate
keyword: martingale
keyword: mathmath-prmathematics-mathprobability-mathpr
keyword: preprints-working-papers-
keyword: recovery-rate
keyword: survival-probability
keyword: volatility
keyword: yield-to-maturity
landing page: https://hal.science/hal-00689709

Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
type: Distribution
format: HTML
issued: 2026-05-21T07:01:46.780485
modified: 2026-05-21T07:01:46.702953
access URL: https://hal.science/hal-00689709

test_moissonnage_selune
type: Agent