A NOTE ON THE PRICING OF INDEX AMORTISING RATE SWAPS IN A WORST-CASE SCENARIO

DOI10.1142/S0219024902001626zbMath1107.91332OpenAlexW2084628467MaRDI QIDQ3022054

Paul Wilmott, David Epstein

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001626

zbMATH Keywords

uncertain parameterstatic hedge

Mathematics Subject Classification ID

Abstract computational complexity for mathematical programming problems (90C60) Statistical methods; economic indices and measures (91B82)

Cites Work

• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A New Model for Interest Rates
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• An equilibrium characterization of the term structure

This page was built for publication: A NOTE ON THE PRICING OF INDEX AMORTISING RATE SWAPS IN A WORST-CASE SCENARIO