CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK

DOI10.1142/S0219024912500483zbMath1255.91428MaRDI QIDQ4902544

Marc Henrard, Pierre Hanton

Publication date: 16 January 2013

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

zbMATH Keywords

CMSGaussian modelsmulti-factor modelHeath-Jarrow-Mortonanalytical formulaCMS spreadlibor market modelefficient approximationG2++

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

CMS spread options in quadratic Gaussian model

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• WHEN IS THE SHORT RATE MARKOVIAN?
• Financial Derivatives in Theory and Practice
• BOND MARKET MODEL
• EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL

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