DOIAbstract
A Callable Inverse Floating Rate Swap is a forward swap agreement with an option of canceling the swap each year starting from several years in future
A Callable Inverse Floating Rate Swap is a forward swap agreement with an option of canceling the swap each year starting from several years in future
This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counte...
An interest rate swap is an agreement between two parties to exchange future interest rate payments ...
Swap is a financial contract between two counterparties who agree to exchange one cash flow stream f...
A Callable Inverse Floating Rate Swap is a forward swap agreement with an option of canceling the sw...
Term structure models are widely used to price interest-rate derivatives such as swaps and bonds wit...
The model estimates the swap price as a risk-neutral expectation of the difference between the bond ...
A reverse convertible autocallable swap allows two parties exchange floating coupons with fixed coup...
This paper introduces a general framework for market models, named Market Model Approach, through th...
Variable rate swap is an interest rate swap that has two legs: one fixed rate leg and a variable rat...
This paper presents the tree construction approach to pricing a Bermudan swaption. The Bermudan swap...
An arrear quanto constant-maturity-swap (CMS) is a swap that pays coupons in a different currency fr...
We build a no-arbitrage model of the term structure of interest rates using two stochastic factors, ...
This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counte...
This paper presents, estimates and tests reduced form credit default swap (CDS) pricing models where...
A compounding swap is an interest rate swap in which interest, instead of being paid, compounds forw...
This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counte...
An interest rate swap is an agreement between two parties to exchange future interest rate payments ...
Swap is a financial contract between two counterparties who agree to exchange one cash flow stream f...
A Callable Inverse Floating Rate Swap is a forward swap agreement with an option of canceling the sw...
Term structure models are widely used to price interest-rate derivatives such as swaps and bonds wit...
The model estimates the swap price as a risk-neutral expectation of the difference between the bond ...
A reverse convertible autocallable swap allows two parties exchange floating coupons with fixed coup...
This paper introduces a general framework for market models, named Market Model Approach, through th...
Variable rate swap is an interest rate swap that has two legs: one fixed rate leg and a variable rat...
This paper presents the tree construction approach to pricing a Bermudan swaption. The Bermudan swap...
An arrear quanto constant-maturity-swap (CMS) is a swap that pays coupons in a different currency fr...
We build a no-arbitrage model of the term structure of interest rates using two stochastic factors, ...
This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counte...
This paper presents, estimates and tests reduced form credit default swap (CDS) pricing models where...
A compounding swap is an interest rate swap in which interest, instead of being paid, compounds forw...
This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counte...
An interest rate swap is an agreement between two parties to exchange future interest rate payments ...
Swap is a financial contract between two counterparties who agree to exchange one cash flow stream f...
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