Valuing Interest Rate Swap Contracts in Uncertain Financial Market
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References listed on IDEAS
- Fanelli, Viviana, 2016. "A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch," European Journal of Operational Research, Elsevier, vol. 249(1), pages 238-244.
- Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.
- Li, Haitao & Mao, Connie X., 2003. "Corporate use of interest rate swaps: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1511-1538, August.
- Balsam, Steven & Kim, Sungsoo, 2001. "Effects of interest rate swaps," Journal of Economics and Business, Elsevier, vol. 53(6), pages 547-562.
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Cited by:
- Zhang, Yi & Gao, Jinwu & Huang, Zhiyong, 2017. "Hamming method for solving uncertain differential equations," Applied Mathematics and Computation, Elsevier, vol. 313(C), pages 331-341.
- Yu, Yongjiu & Yang, Xiangfeng & Lei, Qing, 2022. "Pricing of equity swaps in uncertain financial market," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
- Jia, Lifen & Liu, Xueyong, 2021. "Optimal harvesting strategy based on uncertain logistic population model," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
- Xiangfeng Yang & Hua Ke, 2023. "Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption," Fuzzy Optimization and Decision Making, Springer, vol. 22(3), pages 447-462, September.
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Keywords
interest rate swap; uncertain process; uncertain differential equation; Yao-Chen formula;All these keywords.
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