In-arrears term structure products: no arbitrage pricing bounds and the convexity adjustments (Q4909139)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: In-arrears term structure products: no arbitrage pricing bounds and the convexity adjustments |
scientific article; zbMATH DE number 6143523
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | In-arrears term structure products: no arbitrage pricing bounds and the convexity adjustments |
scientific article; zbMATH DE number 6143523 |
Statements
IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS (English)
0 references
12 March 2013
0 references
in-arrears swaps
0 references
in-arrears caps and floors
0 references
convexity adjustments
0 references
pricing bounds
0 references
risk-neutral pricing
0 references
change of measure
0 references
0.7900862693786621
0 references
0.7788869142532349
0 references
0.7178096771240234
0 references
0.6921895742416382
0 references
0.6863911151885986
0 references
