Change of Measure in Midcurve Pricing. Issue 106 (23rd March 2020)
- Record Type:
- Journal Article
- Title:
- Change of Measure in Midcurve Pricing. Issue 106 (23rd March 2020)
- Main Title:
- Change of Measure in Midcurve Pricing
- Authors:
- Feldman, Konstantin
- Abstract:
- Abstract : We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear and exponential terminal swap rate pricing models and show how they capture the midcurve swaption correlation skew.
- Is Part Of:
- Wilmott. Volume 2020:Issue 106(2020)
- Journal:
- Wilmott
- Issue:
- Volume 2020:Issue 106(2020)
- Issue Display:
- Volume 2020, Issue 106 (2020)
- Year:
- 2020
- Volume:
- 2020
- Issue:
- 106
- Issue Sort Value:
- 2020-2020-0106-0000
- Page Start:
- 76
- Page End:
- 81
- Publication Date:
- 2020-03-23
- Subjects:
- swaptions -- measure change -- forward volatility -- correlation
Finance -- Periodicals
Financial services industry -- Periodicals
332 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1541-8286 ↗
http://www.wilmott.com ↗ - DOI:
- 10.1002/wilm.10833 ↗
- Languages:
- English
- ISSNs:
- 1540-6962
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 13203.xml