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Results: 3
Number of items: 3
  • Open Access
    Hoencamp, J. H., Jain, S., & Kandhai, B. D. (2024). A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA. Quantitative Finance, 24(3-4), 409-432. https://doi.org/10.1080/14697688.2024.2312523
  • Open Access
    Hoencamp, J., Jain, S., & Kandhai, D. (2023). A Semi-Static Replication Method for Bermudan Swaptions under an Affine Multi-Factor Model. Risks, 11(10), Article 168. https://doi.org/10.3390/risks11100168
  • Open Access
    Hoencamp, J. H., de Kort, J. P., & Kandhai, B. D. (2022). The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives. Applied Mathematical Finance, 29(2), 141-179. https://doi.org/10.1080/1350486X.2022.2156900
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