On cash settled IRR-swaptions and Markov functional modeling (Q2976127)
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scientific article; zbMATH DE number 6705616
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| English | On cash settled IRR-swaptions and Markov functional modeling |
scientific article; zbMATH DE number 6705616 |
Statements
ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING (English)
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13 April 2017
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swaptions
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IRR
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convexity
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term-structure
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linear Gaussian model
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quadratic Gaussian model
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Markov functional
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0.7819806933403015
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0.7752099633216858
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0.7659482955932617
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0.7526807188987732
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0.7499752044677734
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