Convexity adjustment for constant maturity swaps in a multi-curve framework

DOI10.1007/s10479-017-2430-6zbMath1417.91504OpenAlexW2593683312WikidataQ59615010 ScholiaQ59615010MaRDI QIDQ1621904

Kostas Andriosopoulos, John Hatgioannides, Nikolaos Karouzakis

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2430-6

zbMATH Keywords

constant maturity swapsconvexity adjustmentmoney market instrumentsmulti-curve frameworkyield curve modelling

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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