IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS

DOI10.1142/S0219024912500549zbMath1260.91234OpenAlexW3125515388MaRDI QIDQ4909139

Klaus Sandmann, An Chen

Publication date: 12 March 2013

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

Full work available at URL: https://doi.org/10.1142/s0219024912500549

zbMATH Keywords

change of measurerisk-neutral pricingpricing boundsconvexity adjustmentsin-arrears caps and floorsin-arrears swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On swap rate dynamics: to freeze or not to freeze?

Cites Work

• New no-arbitrage conditions and the term structure of interest rate futures
• The Market Model of Interest Rate Dynamics
• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure
• Reckoning time, longitude and the history of the Earth's rotation, using the Moon

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