Convexity adjustment for constant maturity swaps in a multi-curve framework
Year of publication: |
July 2018
|
---|---|
Authors: | Karouzakis, Nikolaos ; Hatgioannides, John ; Andriosopoulos, Kostas |
Published in: |
Analytical models for financial modeling and risk management. - New York, NY, USA : Springer. - 2018, p. 159-181
|
Subject: | Theorie | Theory | Swap | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve |
-
An econometric model of the term structure of interest rate swap yields
Duffie, Darrell, (1995)
-
Three essays on contingent claims
Baz, Jamil, (1996)
-
Valuation of default-risky interest-rate swaps
Abken, Peter A., (1991)
- More ...
-
An International Examination of the Role of Default and Liquidity Risks in the Interbank Market
Karouzakis, Nikolaos, (2016)
-
The role of timeâvarying risk premia in international interbank markets
Karouzakis, Nikolaos, (2020)
-
Foreign-law premium for European high-yield corporate bonds
Jelic, Ranko, (2023)
- More ...