CMS, CMS spreads and similar options in the multi-factor HJM framework
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Publication:4902544
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Cites work
- BOND MARKET MODEL
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
- Fast and accurate pricing and hedging of long-dated CMS spread options
- Financial Derivatives in Theory and Practice
- Interest rate models -- theory and practice. With smile, inflation and credit
- WHEN IS THE SHORT RATE MARKOVIAN?
Cited in
(6)- Constant maturity treasury convexity correction
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