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Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions and Caps in Excel VBA
Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions and Caps in Excel VBA We consider Libor market model and calibration process. We estimate ...- Authors: Ohoe Kim, Swathi D Gaddam
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics>Financial economics; Finance & Investments>Derivatives; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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Implementation of Intensity Model Approach to Constant Maturity Credit Default Swap Pricing
Implementation of Intensity Model Approach to Constant Maturity Credit Default Swap Pricing Constant maturity credit default swaps [CMCDS] are useful as hedging tools. In intensity model ...- Authors: Ohoe Kim
- Date: Jan 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods