D 2009

Valuation of Derivatives Using Different Convexity Adjustments

WITZANY, Jiří

Basic information

Original name

Valuation of Derivatives Using Different Convexity Adjustments

Authors

WITZANY, Jiří

Edition

Athens, 6th AFE – International Conference on Applied Financial Economics, p. 158–165, 2009

Publisher

National and Capodistrian University of Athens

Other information

Language

English

Type of outcome

Proceedings paper

Field of Study

50200 5.2 Economics and Business

Country of publisher

Greece

Confidentiality degree

is not subject to a state or trade secret

ISBN

978-960-466-044-5

Keywords (in Czech)

úrokové deriváty, Libor v arrears, swap s konstantní maturitou, oceňovací modely, úprava pro konvexitu

Keywords in English

interest rate derivatives, Libor in arrears, constant maturity swap, valuation models, convexity adjustment

Tags

Changed: 27/5/2010 15:00, Mgr. Helena Hakenová