Constant maturity treasury convexity correction

DOI10.1142/S0219024914500514MaRDI QIDQ2939922zbMATH OpenFDO

Authors Mario Pucci

Publication date 23 January 2015

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024914500514

zbMATH Keywords

constant maturityconvexity adjustmentdefault risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model
• Mathematical foundation of convexity correction
• CMS, CMS spreads and similar options in the multi-factor HJM framework
• THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH
• Convexity bias in the pricing of Eurodollar swaps

Cites work

• Financial Derivatives in Theory and Practice
• Hazard processes and martingale hazard processes
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Valuation of credit default swaps and swaptions

Cited in

(5)

• Convexity adjustment for constant maturity swaps in a multi-curve framework
• Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model
• The value of convexity: a theoretical and empirical investigation
• Mathematical foundation of convexity correction
• The value of convexity: a theoretical and empirical investigation

This page was built for publication: Constant maturity treasury convexity correction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2939922)