Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
CLICK HERE TO DOWNLOAD THE PDF
The Libor swap rate fallbacks proposed by different working groups are transforming vanilla swaptions into exotics with extra convexity adjustments. Marc Henrard proposes different pricing methodologies for cash-settled swaptions with collateralised discounting and exotic swaptions, including several price approximations to reduce the numerical complexity of implementation
The future of the London Interbank Offered Rate (Libor) looked bleak in the years following
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Cutting Edge
Estimating mean reversions in interest rate models
The speed of factors’ mean reversion in rate models is estimated
Auto-encoding term-structure models
An arbitrage-free low-dimensionality interest rate model is presented
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
Degree of influence 2024: volatility and credit risk keep quants alert
Quantum-based models and machine learning also contributed to Cutting Edge’s output
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
Funding arbitrages and optimal funding policy
Stochastic control can be used to manage a bank’s net asset income
