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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
(equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options …
Persistent link: https://www.econbiz.de/10013441427
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Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger; Lutz, Matthias - In: The journal of computational finance 14 (2010/11) 4, pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
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Riding the swaption curve
Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
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Swaptions in Libor Market Model with Local Volatility
Henrard, Marc P. A. - 2010
The Libor Market Model (LMM) describes the evolution of a yield curve through equations for a discrete set of forward rates. In the original version, the rate dynamic was log-normal. The rate dynamic has been extended. The main result presented here is a generic approximation that provides an...
Persistent link: https://www.econbiz.de/10013136313
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Unifying Variance Swap Term Structures, SPX and VIX Derivatives
Zhao, Bo - 2014
We propose a term structure function, a two-factor variance process and a return process to jointly price SPX and VIX derivatives. The distinctive feature of the variance model is that the factor coefficients are time-varying and they are bonded with the term structure of variance swaps. The...
Persistent link: https://www.econbiz.de/10013066807
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Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae
Burgess, Nicholas - 2018
-Scholes result. We show that a swaption pricing formula is nothing more than the Black-76 formula scaled by the underlying swap … discuss how to evaluate and price an interest swap, which is the swaption underlying instrument. We proceed to examine how to … calculation. Finally applying the Radon-Nikodym derivative to change measure from the annuity measure to the savings account …
Persistent link: https://www.econbiz.de/10012931188
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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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The Q-measure dynamics of forward rates
Rebonato, Riccardo - In: Annual review of financial economics 15 (2023), pp. 493-522
Persistent link: https://www.econbiz.de/10014426352