Valuation of Convexity Related Derivatives
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References listed on IDEAS
- Dharmapala, Dhammika, 2003. "Budgetary Policy with Unified and Decentralized Appropriations Authority," Public Choice, Springer, vol. 115(3-4), pages 347-367, June.
- Balassone, Fabrizio & Giordano, Raffaela, 2001. "Budget Deficits and Coalition Governments," Public Choice, Springer, vol. 106(3-4), pages 327-349, March.
More about this item
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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-15 (All new papers)
- NEP-FMK-2008-03-15 (Financial Markets)
- NEP-MAC-2008-03-15 (Macroeconomics)
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