Variable rate swap is an interest rate swap that has two legs: one fixed rate leg and a variable rate leg. The variable leg involves fixed rate payments for an initial period of time and a floating rate for the rest. The floating rate on that portion is defined as a minimum of two index rates
AbstractUnder the foundation of Duffie & Huang (1996) [7], this paper integrates the reduced form mo...
A Callable Inverse Floating Rate Swap is a forward swap agreement with an option of canceling the sw...
A Cross Currency European Swaption is a European Swaption to enter into a swap to exchange cash flow...
Variable rate swap is a special type of interest rate swap in which one leg of the swap corresponds ...
An interest rate swap is an agreement between two parties to exchange future interest rate payments ...
The model estimates the swap price as a risk-neutral expectation of the difference between the bond ...
An interest rate swap is a contract between two par-ties to exchange periodically fixed rate payment...
Financial derivatives are financial instruments which enable investor or a debtor to optimize his/he...
A ratchet swap is an interest rate swap with two legs. One leg is a standard floating leg and the ot...
Swap is a financial contract between two counterparties who agree to exchange one cash flow stream f...
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular ...
This thesis applies the contingent claims analysis to investigate the reasons for the development an...
The crisis that affected financial markets in the last years leaded market prac-titioners to revise ...
This dissertation consists of four essays on pricing fixed income derivatives and risk management. T...
AbstractUnder the foundation of Duffie & Huang (1996) [7], this paper integrates the reduced form mo...
A Callable Inverse Floating Rate Swap is a forward swap agreement with an option of canceling the sw...
A Cross Currency European Swaption is a European Swaption to enter into a swap to exchange cash flow...
Variable rate swap is a special type of interest rate swap in which one leg of the swap corresponds ...
An interest rate swap is an agreement between two parties to exchange future interest rate payments ...
The model estimates the swap price as a risk-neutral expectation of the difference between the bond ...
An interest rate swap is a contract between two par-ties to exchange periodically fixed rate payment...
Financial derivatives are financial instruments which enable investor or a debtor to optimize his/he...
A ratchet swap is an interest rate swap with two legs. One leg is a standard floating leg and the ot...
Swap is a financial contract between two counterparties who agree to exchange one cash flow stream f...
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular ...
This thesis applies the contingent claims analysis to investigate the reasons for the development an...
The crisis that affected financial markets in the last years leaded market prac-titioners to revise ...
This dissertation consists of four essays on pricing fixed income derivatives and risk management. T...
AbstractUnder the foundation of Duffie & Huang (1996) [7], this paper integrates the reduced form mo...
A Callable Inverse Floating Rate Swap is a forward swap agreement with an option of canceling the sw...
A Cross Currency European Swaption is a European Swaption to enter into a swap to exchange cash flow...
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