Concept

Swaption

Related publications (6)

Closed form approximation methods for portfolio valuation and risk management

In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...

EPFL2023

Understanding Mortgage Spreads

Andreas Fuster

Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners’ funding costs. We study variation in MBS spreads in the time series and across securities and ...

2019

Review of fundamental assumptions of the Two-Phase model for aggregate interlocking in cracked concrete using numerical methods and experimental evidence

Aurelio Muttoni, Guillaume Anciaux, Miguel Fernández Ruiz, Mohit Pundir, Max Tirassa

Aggregate interlocking allows transferring shear and normal stresses through open cracks, and is considered to significantly contribute to the force transfer in cracked concrete. The complex phenomenon depends on the roughness of cracked surfaces, where ma ...

2019

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

Pricing Swaptions within the Affine Framework

Pierre Collin Dufresne

We propose a very fast and accurate algorithm for pricing swaptions when the underlying term structure dynamics are affine. The efficiency of the algorithm stems from the fact that the moments of the underlying asset (i.e., a coupon bond) possess simple cl ...

Columbia Business School2002

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Pierre Collin Dufresne

Most term structure models assume bond markets are complete, that is, that all fixed income derivatives can be perfectly replicated using solely bonds. However, we find that, in practice, swap rates have limited explanatory power for returns on at-the-mone ...

2002

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