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Search: subject:"Convexity adjustment"
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convexity adjustment
4
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constant maturity swap
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interest rate derivatives
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deaths
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Witzany, Jiří
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Belgrade, Nabyl
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Institut ekonomických studií, Univerzita Karlova v Praze
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1
Interest rate convexity in a Gaussian framework
Jacquier, Antoine
;
Oumgari, Mugad
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 677-689
Persistent link: https://www.econbiz.de/10015050786
Saved in:
2
Phantoms never die : living with unreliable mortality data
Cairns, Andrew
;
Blake, David
;
Dowd, Kevin
;
Kessler, Amy
-
2014
Persistent link: https://www.econbiz.de/10010429328
Saved in:
3
Valuation of Convexity Related Interest Rate Derivatives
Witzany, Jiří
- In:
Prague Economic Papers
2009
(
2009
)
4
,
pp. 309-326
derivatives. Beside the popular
convexity
adjustment
formula, we develop an improved two or more variable adjustment formula …
Persistent link: https://www.econbiz.de/10008548680
Saved in:
4
Valuation of convexity related derivatives
Witzany, Jiří
-
2008
. Beside the popular
convexity
adjustment
formula, we will develop an improved two or more variable adjustment formula …
Persistent link: https://www.econbiz.de/10010322240
Saved in:
5
Valuation of Convexity Related Derivatives
Witzany, Jiří
-
Institut ekonomických studií, Univerzita Karlova v Praze
-
2008
. Beside the popular
convexity
adjustment
formula, we will develop an improved two or more variable adjustment formula …
Persistent link: https://www.econbiz.de/10005673603
Saved in:
6
A market model for inflation.
Belgrade, Nabyl
;
Benhamou, Eric
;
Koehler, Etienne
-
Maison des Sciences Économiques, Université Paris 1 …
-
2004
swaps. We explain how to compute the
convexity
adjustment
and what relationship the volatility surface should satisfy …
Persistent link: https://www.econbiz.de/10005797802
Saved in:
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