Narrow search
Showing 1 - 10 of 4,149
Cover Image
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
Cover Image
Effective Markovian Projection : Application to CMS Spread Options and Mid-Curve Swaptions
Felpel, Mike; Kienitz, Jörg; McWalter, Thomas - 2021
Pricing of interest rate derivatives, such as CMS spread or mid-curve options, depends on modelling the underlying single rates. For flexibility and realism, these rates are often described in the framework of stochastic volatility models. In this paper, we allow rates to be modelled within a...
Persistent link: https://www.econbiz.de/10013236488
Cover Image
Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models
Malyarenko, Anatoliy - 2010
In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one-factor stochastic interest rate models via partial integro-differential equations (PIDE). These models include, in particular, Ornshtein-Uhlenbeck (1930), Vasicek (1977),...
Persistent link: https://www.econbiz.de/10013144189
Cover Image
Pricing a Callable Leveraged Constant Maturity Swap Spread Note
Chertok, Daniel L. - 2012
A callable leveraged constant maturity swap (CMS) spread note allows the holder to benefit from future changes in the … spread between two swap interest rates. The issues retains the right to call the note at pre-specified times in the future …. The note is priced via Monte Carlo simulation using the current term structure of interest rates and at-the-money implied …
Persistent link: https://www.econbiz.de/10013098211
Cover Image
Riding the swaption curve
Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
Cover Image
Swaption pricing in affine and other models
Kim, Don H. - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
Cover Image
Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.; Heys, Jan van - In: Applied mathematical finance 17 (2010) 5/6, pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
Cover Image
Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options
Heys, Jan van - 2011
gives a satisfactory fit to the market. We conclude our investigation with a pricing of a callable swap on cms spread using …
Persistent link: https://www.econbiz.de/10013134183
Cover Image
Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
Cover Image
Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...
Persistent link: https://www.econbiz.de/10013441427