We collect simple and pragmatic exact formulae for the convexityadjustment of irregular interest rate cash flows as Libor-in-arrears orpayments of a swap rate (CMS rate) at an irregular date. The resultsare compared with the results of an approximative approach availablein the popular...

The payoff of many credit derivatives depends on the level of credit spreads. Inparticular, credit derivatives with a leverage component are subject to gap risk, a riskassociated with the occurrence of jumps in the underlying credit default swaps. Inthe framework of first passage time models, we...