IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS
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Publication:4909139
DOI10.1142/S0219024912500549zbMath1260.91234MaRDI QIDQ4909139
Publication date: 12 March 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500549
change of measure; risk-neutral pricing; pricing bounds; convexity adjustments; in-arrears caps and floors; in-arrears swaps
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- New no-arbitrage conditions and the term structure of interest rate futures
- The Market Model of Interest Rate Dynamics
- Changes of numéraire, changes of probability measure and option pricing
- An equilibrium characterization of the term structure
- Reckoning time, longitude and the history of the Earth's rotation, using the Moon