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Factor dependence and estimation risk for cap-related interest rat exotics
Kerkhof, Franciscus Lambertus Johannes - In: The journal of fixed income 15 (2006) 4, pp. 74-83
Persistent link: https://www.econbiz.de/10003339423
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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
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A Unified Market Model for Swaptions and Constant Maturity Swaps
Tee, Chyng Wen - 2019
Internal-rate-of-return (IRR) settled swaptions are the main interest rate volatility instruments in the European interest rate markets. Industry practice is to use an approximation formula to price IRR swaptions based on Black model, which is not arbitrage-free. We formulate a unified market...
Persistent link: https://www.econbiz.de/10012864266
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Mathematical foundation of convexity correction
Pelsser, Antoon André Jean - 2001
Persistent link: https://www.econbiz.de/10001692631
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Efficient methods for valuing interest rate derivatives
Pelsser, Antoon André Jean - 2000
Persistent link: https://www.econbiz.de/10001472323
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A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul; Pelsser, Antoon André Jean - In: Review of derivatives research 13 (2010) 3, pp. 245-272
Persistent link: https://www.econbiz.de/10008695888
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Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
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Market value of insurance contracts with profit sharing
Bouwknegt, Pieter; Pelsser, Antoon André Jean - 2001
Persistent link: https://www.econbiz.de/10001692626
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Libor market models verus swap market models for pricing interest rate derivatives: an empirical analysis
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - 2001
Persistent link: https://www.econbiz.de/10001692635
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Risk managing Bermudan swaptions in the Libor BGM model
Pietersz, Raoul (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001902799