Pricing and risk management of interest rate swaps
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Publication:257234
DOI10.1016/j.ejor.2012.11.032zbMath1332.91107OpenAlexW2029694642MaRDI QIDQ257234
I-Chieh Wang, Paresh Date, Sovan Mitra, Rogemar S. Mamon
Publication date: 15 March 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.11.032
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
A cyclical square-root model for the term structure of interest rates ⋮ Operational risk: emerging markets, sectors and measurement ⋮ A double obstacle model for pricing bi-leg defaultable interest rate swaps ⋮ Firm value and the impact of operational management ⋮ Some inequalities for covariance with applications in statistics
Uses Software
Cites Work
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