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Search: subject:"One-dimensional swap Markov-functional model"
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Bermudan swaption
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One-dimensional swap Markov-functional model
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correlation
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gamma
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hedging
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parametrization by time and by expiry
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vega
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Interest rate derivative
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KENNEDY, JOANNE E.
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Kennedy, Joanne E.
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PHAM, DUY
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Pham, Duy
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International Journal of Theoretical and Applied Finance (IJTAF)
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International journal of theoretical and applied finance
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IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS
KENNEDY, JOANNE E.
;
PHAM, DUY
- In:
International Journal of Theoretical and Applied …
16
(
2013
)
05
,
pp. 1350030-1
for the driving Markov process of the
one-dimensional
swap
Markov-functional
model
. We find that there is a strong …
Persistent link: https://www.econbiz.de/10010681252
Saved in:
2
Implications for hedging of the choice of driving process for one-factor Markov-functional models
Kennedy, Joanne E.
;
Pham, Duy
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-51
Persistent link: https://www.econbiz.de/10009783994
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