Valuation of convexity related derivatives
Year of publication: |
2008
|
---|---|
Authors: | Witzany, Jiří |
Publisher: |
Prague : Charles University in Prague, Institute of Economic Studies (IES) |
Subject: | Derivat | Zinsderivat | Theorie | interest rate derivatives | Libor in arrears | constant maturity swap | valuation models | convexity adjustment |
Series: | IES Working Paper ; 4/2008 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 578576171 [GVK] hdl:10419/83372 [Handle] |
Classification: | C13 - Estimation ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E47 - Forecasting and Simulation ; G13 - Contingent Pricing; Futures Pricing |
Source: |
-
Valuation of Convexity Related Derivatives
Witzany, Jiří, (2008)
-
Valuation of Convexity Related Interest Rate Derivatives
Witzany, Jiří, (2009)
-
Valuation of convexity related derivatives
Witzany, Jiří, (2008)
- More ...
-
Estimating default and recovery rate correlations
Witzany, Jiří, (2013)
-
Estimating correlated jumps and stochastic volatilities
Witzany, Jiří, (2011)
-
A note on the Vasicek's model with the logistic distribution
Witzany, Jiří, (2013)
- More ...