Valuation of Convexity Related Interest Rate Derivatives
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DOI: 10.18267/j.pep.356
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References listed on IDEAS
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Cited by:
- Martin Pohl, 2012. "Czech Swap Market in the Crisis Period," Prague Economic Papers, Prague University of Economics and Business, vol. 2012(1), pages 101-122.
- Bohumil Stádník & Algita Miečinskienė, 2015. "Complex Model of Market Price Development and its Simulation," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 786-807, August.
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More about this item
Keywords
interest rate derivatives; Libor in arrears; constant maturity swap; valuation models; convexity adjustment;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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