CMS, CMS spreads and similar options in the multi-factor HJM framework
DOI10.1142/S0219024912500483zbMATH Open1255.91428MaRDI QIDQ4902544FDOQ4902544
Authors: Pierre Hanton, Marc Henrard 
Publication date: 16 January 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Recommendations
- CMS spread options in quadratic Gaussian model
- Pricing CMS spread options in a Libor market model
- Fast and accurate pricing and hedging of long-dated CMS spread options
- Effective Markovian projection: application to CMS spread options and mid-curve swaptions
- Pricing swaptions under multifactor Gaussian HJM models
CMSGaussian modelsmulti-factor modelHeath-Jarrow-Mortonanalytical formulaCMS spreadlibor market modelefficient approximationG2++
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)
Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Interest rate models -- theory and practice. With smile, inflation and credit
- Financial Derivatives in Theory and Practice
- WHEN IS THE SHORT RATE MARKOVIAN?
- Fast and accurate pricing and hedging of long-dated CMS spread options
- BOND MARKET MODEL
- EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
Cited In (6)
- Constant maturity treasury convexity correction
- Fast and accurate pricing and hedging of long-dated CMS spread options
- Convexity adjustment for constant maturity swaps in a multi-curve framework
- Pricing CMS spread options in a Libor market model
- Effective Markovian projection: application to CMS spread options and mid-curve swaptions
- CMS spread options in quadratic Gaussian model
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