The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
J.H. Hoencamp, J.P. de Kort and B.D. Kandhai
| Year of publication: |
2022
|
|---|---|
| Authors: | Hoencamp, J. H. ; Kort, J. P. de ; Kandhai, B. D. |
| Subject: | Cheyette | initial margin | Interest rate derivatives | MVA | risk-free rates | stochastic volatility | Derivat | Derivative | Volatilität | Volatility | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2022.2156900 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013554796