2008
Valuation of Convexity Related Derivatives
WITZANY, JiříBasic information
Original name
Valuation of Convexity Related Derivatives
Authors
WITZANY, Jiří
Edition
23 pp. IES Working Paper [online] 4, 2008
Other information
Language
English
Type of outcome
Special-purpose publication
Field of Study
50200 5.2 Economics and Business
Confidentiality degree
is not subject to a state or trade secret
References:
Keywords (in Czech)
úrokové deriváty, Libor v arrears, swap s konstantní maturitou, oceňovací modely, korekce efektu konvexity
Keywords in English
interest rate derivatives, Libor in arrears, constant maturity swap, valuation models, convexity adjustment
Tags
Changed: 2/6/2010 09:44, Mgr. Helena Hakenová