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searching for Swaption 5 found (33 total)

alternate case: swaption

Fabio Mercurio (496 words) [view diff] exact match in snippet view article find links to article

F. Mercurio and A. Pallavicini (2006), "Smiling at convexity: bridging swaption skews and CMS adjustments", Risk August, 64–69. F. Mercurio and N. Moreni
LIBOR market model (1,003 words) [view diff] exact match in snippet view article find links to article
exotic derivatives like Bermudan swaptions, ratchet caps and floors, target redemption notes, autocaps, zero coupon swaptions, constant maturity swaps and
Liquidity risk (2,613 words) [view diff] exact match in snippet view article find links to article
swap: Swap the underlying's return for LIBOR paid periodicially. Return swaption: Option to enter into the return swap. Liquidity option: "Knock-in" barrier
Adept (C++ library) (656 words) [view diff] exact match in snippet view article
arXiv:1509.07164 [cs.MS]. "Sensitivities in Quantitative Finance: Libor Swaption Portfolio Pricer (Monte-Carlo)". 2016-12-02. Retrieved 2017-10-21. Rieck
Certificate in Quantitative Finance (233 words) [view diff] exact match in snippet view article find links to article
Calibrating the reference volatility structure by fitting to caplet or swaption data. SABR Model: Managing volatility risks, smiles, local volatility models