scientific article; zbMATH DE number 5284328

MaRDI QIDQ3501642zbMATH OpenFDO

Authors Yan Zhang, Xueqiao du

Publication date 3 June 2008

zbMATH Keywords

zero-coupon bondforward rateinterest rate swapfixed ratefloating rate

Mathematics Subject Classification ID

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

Recommendations

• Pricing and risk management of interest rate swaps
• Interest rate swaps under CIR.
• Interest rate swaps and corporate default
• Study of the dynamics of the interest rate swap using machine learning methods
• Borrowing cost reduction by interest rate swaps -- an option pricing analysis.
• scientific article; zbMATH DE number 7071671
• Valuation of credit contingent interest rate swap
• Currency swaps and long-term covered interest parity
• scientific article; zbMATH DE number 5305363

Cited in

(2)

• Study of the dynamics of the interest rate swap using machine learning methods
• Interest rate swaps under CIR.

Describes a project that uses

Uses Software

• Matlab

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3501642)