A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA
J. H. Hoencamp, S. Jain and B. D. Kandhai
| Year of publication: |
2024
|
|---|---|
| Authors: | Hoencamp, J. H. ; Jain, Surbhi ; Kandhai, B. D. |
| Subject: | Affine term-structure modeling | Bermudan swaptions | Counterparty credit risk | CVA | Initial Margin | MVA | Static replication | Derivat | Derivative | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading | Finanzmathematik | Mathematical finance | Swap |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2312523 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014552078