The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives (Q5879356)
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scientific article; zbMATH DE number 7657804
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| English | The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives |
scientific article; zbMATH DE number 7657804 |
Statements
The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives (English)
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28 February 2023
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interest rate derivatives
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Cheyette
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initial margin
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MVA
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risk-free rates
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stochastic volatility
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0.7565928101539612
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0.7038297653198242
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0.7016798853874207
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0.6895737648010254
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