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Bermudan swaptions
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Choice of interest rate term structure models for assets and liability management
Guan, Zhenke
;
Gan, Bing
;
Khan, Aisha
;
Poon, Ser-huang
-
2008
swaptions
to proxy risk management outcome of long-term mortgage loans. Our tests involve calibrating the four interest rate …
Persistent link: https://www.econbiz.de/10010277896
Saved in:
2
Short rate models: Hull-White or Black-Karasinski? Implementation note and model comparison for ALM
Khan, Aisha
;
Guan, Eric
;
Poon, Ser-huang
-
2008
particular, we compare the two models for pricing and hedging Bermudan
swaptions
because of its resemblance to prepayment option …
Persistent link: https://www.econbiz.de/10010277903
Saved in:
3
Swap market model: Theory and empirical evidence
Gan, Bing
;
Guan, Eric
;
Poon, Ser-huang
-
2008
This paper tests the co-terminal swap market model (SMM) pricing and hedging performance on Bermudan
swaptions
. To our …
Persistent link: https://www.econbiz.de/10010277925
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