Free Ebook Valuation of Interest Rate Swaps and Swaptions (Frank J. Fabozzi Series)
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Published on: 2008-04-21
Released on: 2008-04-21
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Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included. EDHEC-Risk Interest-Rate Modeling: Calibrating short interest rate models in negative rate environments: Frank J. Fabozzi Vincenzo Russo In this paper different calibration ... Lattice model (finance) - Wikipedia In finance a lattice model is a technique applied to the valuation of derivatives where a discrete time model is required. For equity options a typical example ... Monte Carlo methods for option pricing - Wikipedia Methodology. In terms of theory Monte Carlo valuation relies on risk neutral valuation. Here the price of the option is its discounted expected value; see risk ...
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