Valuation of Convexity Related Interest Rate Derivatives
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References listed on IDEAS
- Eric Benhamou, 2000. "Pricing Convexity Adjustment with Wiener Chaos," FMG Discussion Papers dp351, Financial Markets Group.
- Eric Benhamou, 2002. "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance 0212005, EconWPA.
- Martin Vojtek, 2004.
"Calibration of Interest Rate Models - Transition Market Case,"
- Martin Vojtek, 2004. "Calibration of Interest Rate Models - Transition Market Case," CERGE-EI Working Papers wp237, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Henrard, Marc, 2007. "CMS swaps in separable one-factor Gaussian LLM and HJM model," MPRA Paper 3228, University Library of Munich, Germany.
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Keywordsinterest rate derivatives; Libor in arrears; constant maturity swap; valuation models; convexity adjustment;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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