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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model

Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012821303

Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66

Persistent link: https://www.econbiz.de/10014474576

A Defaultable HJM Modelling of the Libor Rate for Pricing Basis Swaps after the Credit Crunch

Fanelli, Viviana - 2016

A great deal of recent literature discusses the major anomalies that have appeared in the interest rate market following the credit crunch in August 2007. There were major consequences with regard to the development of spreads between quantities that had remained the same until then. In...

Persistent link: https://www.econbiz.de/10013003391

Pricing credit default swap under fractional Vasicek interest rate model

Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20

Persistent link: https://www.econbiz.de/10010422093

OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads

Hull, John; White, Alan - In: Journal of investment management : JOIM 13 (2015) 1, pp. 64-83

Persistent link: https://www.econbiz.de/10011635240

Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model

Baviera, Roberto - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10012153037

Pricing range accrual interest rate swap employing LIBOR market models with jump risks

Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373

Persistent link: https://www.econbiz.de/10011938138

A unified market model for swaptions and constant maturity swaps

Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31

Persistent link: https://www.econbiz.de/10012652680

Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae

Burgess, Nicholas R. H. - 2018

-Scholes result. We show that a swaption pricing formula is nothing more than the Black-76 formula scaled by the underlying swap … discuss how to evaluate and price an interest swap, which is the swaption underlying instrument. We proceed to examine how to …

Persistent link: https://www.econbiz.de/10012931188

On the deterministic-shift extended CIR model in a negative interest rate framework

Di Francesco, Marco; Kamm, Kevin - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-26

finds constant maturity swap (CMS) rates very close to Bloomberg's CMS rates. …

Persistent link: https://www.econbiz.de/10013252794