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Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema; Korn, Ralf; Desmettre, Sascha - In: The journal of computational finance 23 (2019) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
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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
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - 2016
and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …
Persistent link: https://www.econbiz.de/10011516038
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Three essays on contingent claims
Baz, Jamil - 1996
Persistent link: https://www.econbiz.de/10000982060
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Volatility skews and extensions of the libor market model
Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Applied mathematical finance 7 (2000) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10001546115
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Efficient control variates and strategies for Bermudean swaptions in a Libor market model
Shin Jensen, Malene (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748910
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Risk managing Bermudan swaptions in the Libor BGM model
Pietersz, Raoul (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001902799
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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
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An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancellable Swaps Under the Libor Market Model
Joshi, Mark S. - 2014
We introduce a new simulation algorithm for computing the Hessians of Bermudan swaptions and cancellable swaps, the …
Persistent link: https://www.econbiz.de/10013039860
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Par-Par Asset Swap Spreads : An Illustration of How to Price Asset Swaps
Burgess, Nicholas - 2016
this paper we provide a brief overview of asset swaps and derive a par-par asset swap spread formula incorporating bond … accrued interest. Finally we illustrate how to calculate both the yield-yield and par-par asset swap spread using the liquid …
Persistent link: https://www.econbiz.de/10012986931