The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
J.H. Hoencamp, J.P. de Kort and B.D. Kandhai
Year of publication: |
2022
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Authors: | Hoencamp, J. H. ; Kort, J. P. de ; Kandhai, B. D. |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 29.2022, 2, p. 141-179
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Subject: | Cheyette | initial margin | Interest rate derivatives | MVA | risk-free rates | stochastic volatility | Derivat | Derivative | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zinsderivat | Interest rate derivative | Theorie | Theory | Zins | Interest rate | Zinsstruktur | Yield curve |
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