A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA

DOI10.1080/14697688.2024.2312523MaRDI QIDQ6576883

B. D. Kandhai, S. Jain, J. H. Hoencamp

Publication date: 23 July 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Neural nets and related approaches to inference from stochastic processes (62M45)

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