scientific article; zbMATH DE number 2011659

zbMATH Open1075.91542MaRDI QIDQ4437458FDOQ4437458

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

Publication date: 1 December 2003

Title of this publication is not available (Why is that?)

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zbMATH Keywords

interest rate swapstrading strategyrisk parametersBlack model

Mathematics Subject Classification ID

Cited In (19)

• Pricing and risk management of interest rate swaps
• Equity quantile upper and lower swaps
• Interest rate swaps: a comparison of compounded daily versus discrete reference rates
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• SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
• CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL
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• The Value of a Two-Sided Real Swaption
• Title not available (Why is that?)
• PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE
• Title not available (Why is that?)
• 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
• Pricing and Hedging of Swaptions: Setting up a Pricer of Interest Rate Swaptions
• Title not available (Why is that?)

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