Search Results - subject:"convexity adjustments"

A note on dual-curve construction : Mr. Crab's bootstrap

Baviera, Roberto; Cassaro, Alessandro - In: Applied mathematical finance 22 (2015) 1/2, pp. 105-132

Persistent link: https://www.econbiz.de/10010505154

IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS

CHEN, AN; SANDMANN, KLAUS - In: International Journal of Theoretical and Applied … 15 (2012) 08, pp. 1250054-1

formulae. In the present paper, we show that these valuation formulae (the price of vanilla products plus convexity adjustments …-arrears receiver swaps and in-arrears floors. To address the goodness/tightness issue of the bounds, convexity adjustments are compared …

Persistent link: https://www.econbiz.de/10010602415

In-arrears term structure products : no arbitrage pricing bounds and the convexity adjustments

Chen, An; Sandmann, Klaus - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-24

Persistent link: https://www.econbiz.de/10009706335

Valuation of volatility sensitive interest rate derivatives in an emerging market

Witzany, Jiri - In: International Journal of Financial Markets and Derivatives 1 (2010) 4, pp. 438-451

We investigate valuation of volatility sensitive interest rate derivatives like the derivatives involving LIBOR or swap rates in arrears. The paper studies several alternatives of the standard convexity adjustment formula, in particular, a precise analytical formula based on an assumption of...

Persistent link: https://www.econbiz.de/10008755252