A new approximate swaption formula in the LIBOR market model : an asymptotic expansion approach
Year of publication: |
2003
|
---|---|
Authors: | Kawai, Atsushi |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 10.2003, 1, p. 49-74
|
Subject: | Zinsderivat | Interest rate derivative | Theorie | Theory | Zinsstruktur | Yield curve |
-
An empirical analysis of the pricing of interest rate caps
Jegadeesh, Narasimhan, (1994)
-
Bond returns and financial index numbers : results from an intertemporal arbitrage free model
Jensen, Bjarne Astrup, (1992)
-
The statistical distribution of short-term libor rates under two monetary regimes
Pesaran, Bahram, (1993)
- More ...
-
A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
Kawai, Atsushi, (2003)
-
Thermal and flow behaviors in heat transportation container using phase change material
Kaizawa, Akihide, (2008)
-
A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
Kawai, Atsushi, (2003)
- More ...