Search Results - subject:"convexity adjustment"

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

Phantoms never die : living with unreliable mortality data

Cairns, Andrew; Blake, David; Dowd, Kevin; Kessler, Amy - 2014

Persistent link: https://www.econbiz.de/10010429328

Expansion formulas for European quanto options in a local volatility FX-LIBOR model

Hok, Julien; Ngare, Philip; Papapantoleon, Antonis - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-43

Persistent link: https://www.econbiz.de/10011854564

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

Trading strategies with implied forward credit default swap spreads

Leccadito, Arturo; Tunaru, Radu; Urga, Giovanni - In: Journal of banking & finance 58 (2015), pp. 361-375

Persistent link: https://www.econbiz.de/10011544021

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

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

CONSTANT MATURITY TREASURY CONVEXITY CORRECTION

PUCCI, MARIO - In: International Journal of Theoretical and Applied … 17 (2014) 08, pp. 1450051-1

In a Constant Maturity Treasury (CMT) swap the exotic leg pays, for a given tenor, the yield-to-maturity computed out of a reference bond curve. This paper introduces a theoretical framework for the modelling of CMT that takes into account default risk of bond issuer. As an application, we...

Persistent link: https://www.econbiz.de/10011106362

Intrinsic prices of risk

Le, Truc - In: Journal of mathematical finance 4 (2014) 5, pp. 318-327

Persistent link: https://www.econbiz.de/10011312410

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