A unified market model for swaptions and constant maturity swaps (Q5010079)
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scientific article; zbMATH DE number 7384605
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A unified market model for swaptions and constant maturity swaps |
scientific article; zbMATH DE number 7384605 |
Statements
A UNIFIED MARKET MODEL FOR SWAPTIONS AND CONSTANT MATURITY SWAPS (English)
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24 August 2021
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interest rate market
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swaptions
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constant maturity swaps
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derivative valuation
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stochastic volatility models
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fixed income market
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interest rate models
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0.7580092549324036
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0.7579007744789124
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0.7529399991035461
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0.7526807188987732
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0.7448962926864624
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