CONSTANT MATURITY TREASURY CONVEXITY CORRECTION

DOI10.1142/S0219024914500514zbMath1304.91225MaRDI QIDQ2939922

Mario Pucci

Publication date: 23 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

default riskconvexity adjustmentconstant maturity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Valuation of credit default swaps and swaptions
• Financial Derivatives in Theory and Practice
• HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES
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