RISK SENSITIVITIES OF BERMUDA SWAPTIONS (Q3022106)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | RISK SENSITIVITIES OF BERMUDA SWAPTIONS |
scientific article |
Statements
RISK SENSITIVITIES OF BERMUDA SWAPTIONS (English)
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22 June 2005
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Bermudan swaptions
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hedging
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Greeks
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deltas
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vegas
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gammas
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lattice methods
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PDE
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BGM
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Libor Market Model
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Cheyette model
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