IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS (Q4909139)
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scientific article; zbMATH DE number 6143523
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS |
scientific article; zbMATH DE number 6143523 |
Statements
IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS (English)
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12 March 2013
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in-arrears swaps
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in-arrears caps and floors
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convexity adjustments
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pricing bounds
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risk-neutral pricing
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change of measure
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