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Search: subject:"Swaptions"
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Option pricing theory
24
Optionspreistheorie
24
Yield curve
23
Zinsstruktur
23
Swap
18
swaptions
16
Interest rate derivative
14
Swaptions
14
Volatilität
14
Zinsderivat
14
Volatility
13
Bermudan swaptions
11
Derivat
9
Derivative
9
Stochastic process
8
Stochastischer Prozess
8
Interest rate
6
Zins
6
Credit risk
5
Kreditrisiko
4
LIBOR
4
LIBOR market model
4
Option trading
4
Optionsgeschäft
4
Risikoprämie
4
Risk premium
4
caps
4
swap market model
4
swaps
4
Anleihe
3
Bermudan Swaptions
3
Bond
3
Estimation
3
Hedging
3
Libor market model
3
Low-interest-rate policy
3
Monte Carlo simulation
3
Niedrigzinspolitik
3
Risikomanagement
3
Schätzung
3
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Undetermined
25
Free
14
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Article
38
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12
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25
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3
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English
34
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16
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Jain, Shashi
3
Poon, Ser-huang
3
Skovmand, David
3
Filipović, Damir
2
Gan, Bing
2
Gnoatto, Alessandro
2
Grasselli, Martino
2
Guan, Eric
2
Jabłecki, Juliusz
2
Karlsson, Patrik
2
Khan, Aisha
2
Larsson, Martin
2
Macrina, Andrea
2
Oosterlee, Cornelis Willebrordus
2
Svenstrup, Mikkel
2
Trolle, Anders B.
2
Ahdida, Abdelkoddousse
1
Ahn, Jungkyu
1
Ahn, Yongkil
1
Alfonsi, Aurélien
1
Andersen, Leif
1
BAVIERA, ROBERTO
1
Baaquie, Belal E.
1
Baviera, Roberto
1
Bermin, Hans-Peter
1
Bianchetti, Marco
1
Broadie, Mark
1
Caldana, Ruggero
1
Da Foncesca, José
1
Da Fonseca, José
1
Di Francesco, Marco
1
Duyvesteyn, Johan
1
Eghbalzadeh, Ramin
1
El Masri, Fatena
1
Fusai, Gianluca
1
Gaillardetz, Patrice
1
Gambaro, Anna Maria
1
Gatarek, Dariusz
1
Godin, Frédéric
1
Guan, Zhenke
1
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1
Ehrvervøkonomisk Institut, Institut for Økonomi
1
Erasmus University Rotterdam, Econometric Institute
1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
School of Economics and Management, University of Aarhus
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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The journal of computational finance
4
International journal of theoretical and applied finance
3
Manchester Business School Working Paper
3
Finance research letters
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Risks : open access journal
2
Applied Mathematical Finance
1
Applied mathematical finance
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CREATES Research Papers
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Decisions in economics and finance : a journal of applied mathematics
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Econometric Institute Report
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Finance and Stochastics
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Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets
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International Journal of Financial Studies : open access journal
1
International journal of financial engineering
1
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1
Journal of Economic Dynamics and Control
1
Journal of Financial Transformation
1
Journal of banking & finance
1
Journal of economic dynamics & control
1
Journal of investment management : JOIM
1
MPRA Paper
1
Management Science
1
Physica A: Statistical Mechanics and its Applications
1
Quantitative Finance
1
Quantitative finance
1
Research paper series / Swiss Finance Institute
1
Review of Derivatives Research
1
Review of derivatives research
1
Risks
1
Stochastic Processes and their Applications
1
The journal of credit risk : published quarterly by Incisive Media
1
The journal of finance : the journal of the American Finance Association
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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ECONIS (ZBW)
29
RePEc
17
EconStor
4
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subject:"swaption"
(2,044 results)
41
On the lognormality of forward credit default swap spreads
Jabbour, George
;
El Masri, Fatena
;
Young, Stephen
- In:
Journal of Financial Transformation
22
(
2008
),
pp. 41-48
The market for credit default swaps continues to grow in terms of the number of underlying traded names and transactions as well as notional volumes outstanding. With the growth in credit default swaps it is natural to expect a market for options on credit default swaps to follow. Options on...
Persistent link: https://www.econbiz.de/10004981460
Saved in:
42
Single name credit default
swaptions
meet single sided jump models
Jönsson, Henrik
;
Schoutens, Wim
- In:
Review of Derivatives Research
11
(
2008
)
1
,
pp. 153-169
Persistent link: https://www.econbiz.de/10005542786
Saved in:
43
Fast swaption pricing under the market model with a square-root volatility process
Wu, Lixin
;
Zhang, Fan
- In:
Quantitative Finance
8
(
2008
)
2
,
pp. 163-180
approximate pricing formula is developed for
swaptions
, and the formula is implemented via fast Fourier transform. Numerical …
Persistent link: https://www.econbiz.de/10005279131
Saved in:
44
BOND MARKET MODEL
BAVIERA, ROBERTO
- In:
International Journal of Theoretical and Applied …
09
(
2006
)
04
,
pp. 577-596
/floors, bond options and
swaptions
. A comparison with Libor Market Model and Swap Market Model is discussed in detail, underlining …
Persistent link: https://www.econbiz.de/10004977452
Saved in:
45
Optimal allocation of simulation paths in the primal-dual algorithm
Shin Jensen, Malene
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10002551370
Saved in:
46
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
Andersen, Leif
;
Broadie, Mark
- In:
Management Science
50
(
2004
)
9
,
pp. 1222-1234
This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American (i.e., continuously exercisable) and Bermudan (i.e., discretely exercisable) options. The method generates both lower and upper bounds for the Bermudan option price and hence...
Persistent link: https://www.econbiz.de/10009191814
Saved in:
47
A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
Kawai, Atsushi
- In:
Applied Mathematical Finance
10
(
2003
)
1
,
pp. 49-74
This paper presents a new approximate pricing formula for European payer
swaptions
in the LIBOR market model using an …
Persistent link: https://www.econbiz.de/10005462515
Saved in:
48
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?
Heidari, Massoud
;
WU, Liuren
-
EconWPA
-
2002
We investigate whether the same finite dimensional dynamic system spans both interest rates (the yield curve) and interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the underlying yield curve. While three common factors are...
Persistent link: https://www.econbiz.de/10005134877
Saved in:
49
Efficient Control Variates and Strategies for Bermudan
Swaptions
in a Libor Market Model
Jensen, Malene Shin
;
Svenstrup, Mikkel
-
Ehrvervøkonomisk Institut, Institut for Økonomi
-
2002
This paper concerns the problem of valuing Bermudan
swaptions
in <p> a Libor market model. In particular we consider … for Bermudan
swaptions
using a control variate technique for <p> American options proposed in Rasmussen (2002 …
Persistent link: https://www.econbiz.de/10005750410
Saved in:
50
Implied interest rate pricing models
Kennedy, J.E.
;
Hunt, P.J.
- In:
Finance and Stochastics
2
(
1998
)
3
,
pp. 275-293
these results to the solution of an optimisation problem arising in the pricing of amortising
swaptions
. Finally, we apply …
Persistent link: https://www.econbiz.de/10005759640
Saved in:
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