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Options / Mathematical finance / Interest rates / Swaption / Interest rate cap and floor / Interest rate swap / Derivative / Swap / Constant maturity swap / Financial economics / Finance / Economics


THE RELATIVE VALUATION OF CAPS AND SWAPTIONS: THEORY AND EMPIRICAL EVIDENCE
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Document Date: 2004-06-29 15:00:39

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File Size: 857,63 KB

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City

Los Angeles / London / Boston / New York / /

Company

Salomon Smith Barney / Daiwa Securities / Norinchukin Bank / Chase Manhattan Bank / Simplex Capital / Sumitomo Bank / Credit Suisse First Boston / /

Currency

USD / /

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IndustryTerm

distinct products / products / closed-form solution / /

Organization

UCLA / International Swaps and Derivatives Association / Anderson School / M.I.T / Chicago Board of Trade Treasury / Nippon Finance Association / /

Person

Ren / Libor / Pedro Nunes / Yoshihiro Mikami / Alan Brace / Knez / Qiang Dai / Toshiki Yotsuzuka / Bing Han / Martin Dierker / Francis A. Longsta / Pedro Santa-Clara Eduardo / /

Position

editor / appropriate model for caps / accurate model for swaptions / Corresponding author / forward / /

ProvinceOrState

California / /

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