A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model

DOI10.1080/13504860500117602zbMath1157.91360OpenAlexW3122555571MaRDI QIDQ5489324

Marc Henrard

Publication date: 25 September 2006

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860500117602

zbMATH Keywords

numerical integrationexplicit formulaHull-White modelBermudan swaptionHJM one-factor model

Mathematics Subject Classification ID

Cites Work

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• Chaos and coherence: a new framework for interest–rate modelling
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities
• EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
• Interest rate models -- theory and practice

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