A static replication approach for callable interest rate derivatives mathematical foundations and efficient estimation of SIMM–MVA
| Authors |
|
|---|---|
| Publication date | 2024 |
| Journal | Quantitative Finance |
| Volume | Issue number | 24 | 3-4 |
| Pages (from-to) | 409-432 |
| Number of pages | 24 |
| Organisations |
|
| Document type | Article |
| Language | English |
| Published at | https://doi.org/10.1080/14697688.2024.2312523 |
| Downloads | |
| Permalink to this page | |