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Swap Valuation with Dual Curves - Approximations
Coleman, Thomas - 2017
For the case of single-curve (libor) valuation it is well-known that receiving fixed on a swap is equivalent to long a … fixed coupon bond and short a floating bond. This equivalence shows us how the swap behaves and can be used (together with … at-market swap rates and yield-tomaturity formulae) as an approximation for valuation and risk (DV01). In the past few …
Persistent link: https://www.econbiz.de/10012961238
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Interest Rate Swap Credit Valuation Adjustment
Cerny, Jakub - 2019
needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …
Persistent link: https://www.econbiz.de/10012905270
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Multi Currency Credit Default Swaps : Quanto Effects and FX Devaluation Jumps
Brigo, Damiano - 2018
Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the entity resides, or in a more liquid and global foreign currency. In this situation currency fluctuations clearly...
Persistent link: https://www.econbiz.de/10012936666
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Remark on Variance Swaps Pricing
Gikhman, Ilya I. - 2015
Critical point on variance swap pricing is established …
Persistent link: https://www.econbiz.de/10013012407
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Funding Value Adjustment and Incomplete Markets
Cornalba, Lorenzo - 2014
Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is reflected in the non-uniqueness of the pricing measure, which is...
Persistent link: https://www.econbiz.de/10013047092
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The Swap Market Model with Local Stochastic Volatility
Oya, Kenjiro - 2018
The aim of this paper is to present the multi-factor swap market model with non-parametric local volatility functions …
Persistent link: https://www.econbiz.de/10012934727
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A Note on Discounting and Funding Value Adjustments for Derivatives
Han, Meng - 2015
In this paper, valuation of a derivative partially collateralized in a specific foreign currency defined in its credit support annex traded between default-free counterparties is studied. Two pricing approaches -- by hedging and by expectation -- are presented to obtain the same valuation...
Persistent link: https://www.econbiz.de/10013035938
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A Primer on Convexity Adjustments for Libor in Arrears and Constant Maturity Swaps - Part 1
Srinivasan, Ram - 2010
Persistent link: https://www.econbiz.de/10013147169
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On Valuing Constant Maturity Swap Spread Derivatives
Tchuindjo, Leonard - 2013
between major constant maturity swap (CMS) indexes, we propose an easy-to-implement two-factor model for valuing CMS spread …
Persistent link: https://www.econbiz.de/10013079656
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Convergence of the Discrete Variance Swap in Time-Homogeneous Diffusion Models
Bernard, Carole - 2014
condition for the discretely sampled fair strike of a variance swap to converge to the continuously sampled fair strike. It … discrete fair strike of the variance swap is higher than the continuous one and discuss the convex order conjecture proposed by …
Persistent link: https://www.econbiz.de/10013062702