A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model

DOI10.1080/13504860500117602MaRDI QIDQ5489324zbMATH OpenOpenAlexFDO

Authors Marc Henrard

Publication date 25 September 2006

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860500117602

zbMATH Keywords

numerical integrationexplicit formulaHull-White modelBermudan swaptionHJM one-factor model

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 1255542 (Why is no real title available?)
• scientific article; zbMATH DE number 1454625 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Chaos and coherence: a new framework for interest–rate modelling
• EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
• Interest rate models -- theory and practice
• Pricing interest-rate-derivative securities

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(1)

• RISK SENSITIVITIES OF BERMUDA SWAPTIONS

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