Valuation of Convexity Related Derivatives

WITZANY, Jiří

23 pp. IES Working Paper [online] 4, 2008

English

Special-purpose publication

50200 5.2 Economics and Business

is not subject to a state or trade secret

No

úrokové deriváty, Libor v arrears, swap s konstantní maturitou, oceňovací modely, korekce efektu konvexity

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

AR 2008/2009, vědecká řada