scientific article; zbMATH DE number 2011659

MaRDI QIDQ4437458zbMATH OpenFDO

Authors Daniel Akume, B. Luderer, Gerhard-Wilhelm Weber

Publication date 1 December 2003

zbMATH Keywords

interest rate swapstrading strategyrisk parametersBlack model

Mathematics Subject Classification ID

Recommendations

• Swaption pricing in affine and other models
• Pricing and risk management of interest rate swaps
• Implied interest rate pricing models
• scientific article; zbMATH DE number 969940
• A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach

Cited in

(19)

• Pricing and risk management of interest rate swaps
• scientific article; zbMATH DE number 1222806 (Why is no real title available?)
• Pricing and Hedging of Swaptions: Setting up a Pricer of Interest Rate Swaptions
• Equity quantile upper and lower swaps
• scientific article; zbMATH DE number 5894935 (Why is no real title available?)
• Interest rate swaps: a comparison of compounded daily versus discrete reference rates
• SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
• CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL
• scientific article; zbMATH DE number 5244648 (Why is no real title available?)
• The Value of a Two-Sided Real Swaption
• scientific article; zbMATH DE number 1865382 (Why is no real title available?)
• PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE
• scientific article; zbMATH DE number 6129240 (Why is no real title available?)
• Valuation of Commodity-Based Swing Options
• Convexity bias in the pricing of Eurodollar swaps
• A NOTE ON THE PRICING OF INDEX AMORTISING RATE SWAPS IN A WORST-CASE SCENARIO
• Pricing of swaps with default risk
• The Loan-bank contract: a swap option
• Pricing and hedging contingent claims using variance and higher order moment swaps

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 Q4437458)