On cash settled IRR-swaptions and Markov functional modeling
Year of publication: |
March 2017
|
---|---|
Authors: | Bermin, Hans-Peter ; Williams, Gareth |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 2, p. 1-20
|
Subject: | Swaptions | IRR | convexity | term-structure | linear Gaussian model | quadratic Gaussian model | Markov functional | Markov-Kette | Markov chain | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory |
-
Term structure models during the global financial crisis: a parsimonious text mining approach
Nishimura, Kiyohiko G., (2019)
-
CMS spread options in quadratic Gaussian model
Rakhmonov, Parviz, (2022)
-
Convergence of arbitrage-free discrete time Markovian market models
Leitner, Johannes, (2000)
- More ...
-
The academic labour market : economic and social aspects of a profession
Williams, Gareth L., (1974)
-
Financing higher education : current patterns
Williams, Gareth L., (1990)
-
Bonds and Options in Exponentially Affine Bond Models
Bermin, Hans-Peter, (2012)
- More ...