ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL (Q3067762)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL |
scientific article |
Statements
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL (English)
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13 January 2011
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convexity correction
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SABR model
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stochastic Taylor expansion
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