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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Leippold, Markus; Strømberg, Jacob - In: Journal of financial economics 111 (2014) 1, pp. 224-250
Persistent link: https://www.econbiz.de/10010255531
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Valuing early-exercise interest-rate options with multi-factor affine models
Jaimungal, Sebastian; Surkov, Vladimir - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-29
Persistent link: https://www.econbiz.de/10010197181
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Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
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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
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On valuing constant maturity swap spread derivatives
Tchuindjo, Léonard - In: Journal of mathematical finance 2 (2012) 2, pp. 189-194
Persistent link: https://www.econbiz.de/10009719245
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - 2014
needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …-analytical approach are compared with the results of a complex simulation study. …
Persistent link: https://www.econbiz.de/10010358352
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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
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Spread ladder swaps : an analysis of controversial interest rate derivatives
Muck, Matthias - In: Financial markets and portfolio management 26 (2012) 2, pp. 269-289
Persistent link: https://www.econbiz.de/10009553642
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Equity swaps in a LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of futures markets 27 (2007) 9, pp. 893-920
Persistent link: https://www.econbiz.de/10003518527