CMS swaps in separable one-factor Gaussian LLM and HJM model

An approximation approach to Constant Maturity Swaps (CMS) pricing in the separable one-factor Gaussian LLM and HJM models is presented. The approximation used is a Taylor expansion on the swap rate as a function of a random variable which is intuitively similar to a (short) rate. This approach is different from the standard approach in CMS where the discounting is written as a function of the swap rate. The approximation is very efficient.

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Year of publication:	2007-05-08
Authors:	Henrard, Marc

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Henrard, Marc (2007): CMS swaps in separable one-factor Gaussian LLM and HJM model.
Classification:	G13 - Contingent Pricing; Futures Pricing ; C63 - Computational Techniques ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	BASE

Persistent link: https://www.econbiz.de/10015227797