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Mathematical finance / Interest rates / Fixed income analysis / Hull–White model / Interest rate swap / Black–Karasinski model / Swaption / Swap / Yield curve / Financial economics / Finance / Economics


Semi-analytic valuation of credit linked swaps in a Black-Karasinski framework ¨ Peter Jackel Quant Congress Europe
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Document Date: 2009-05-19 13:11:19

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File Size: 371,24 KB

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London / /

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numerical search / /

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Congress / /

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Peter Jackel / /

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RT / Ti-forward / Black-Karasinski model for interest rates / forward / /

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