Pricing swaptions under multifactor Gaussian HJM models
João Pedro Vidal Nunes; Pedro Miguel Silva Prazeres
| Year of publication: |
2014
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|---|---|
| Authors: | Nunes, Joaõ Pedro Vidal ; Prazeres, Pedro Miguel Silva |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 4, p. 762-789
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| Subject: | Gaussian HJM multifactor models | European-style swaptions | conditioning approach | rank 1 approximation | lognormal approximation | stochastic duration | Edgeworth expansion | hyperplane approximation | low-variance martingale approximation | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | CAPM | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011308169