Using actual over the counter (OTC) foreign exchange derivative trading data, this paper studies the relationship …

divide the pricing of a Bermudan cancelable PRDC swap into two independent pricing subproblems, each of which can efficiently …

In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We …

-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 … calculation. Finally applying the Radon-Nikodym derivative to change measure from the annuity measure to the savings account …