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.
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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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