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~person:"Macrina, Andrea"
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Macrina, Andrea
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Rational savings account models for backward-looking interest rate benchmarks
Macrina, Andrea
;
Skovmand, David
- In:
Risks
8
(
2020
)
1
,
pp. 1-18
enables the pricing in closed form of caplets,
swaptions
and futures written on the backward-looking interest rate benchmark. …
Persistent link: https://www.econbiz.de/10013200558
Saved in:
2
Rational savings account models for backward-looking interest rate benchmarks
Macrina, Andrea
;
Skovmand, David
- In:
Risks : open access journal
8
(
2020
)
1/23
,
pp. 1-18
enables the pricing in closed form of caplets,
swaptions
and futures written on the backward-looking interest rate benchmark. …
Persistent link: https://www.econbiz.de/10012203790
Saved in:
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