- of
swaptions,
analogous to
exotic options.
These can
involve bespoke exercise rules, or a non-constant swap notional. The
valuation of
swaptions is complicated...
- and
swaptions is
useful primarily for calibration. The real use of the
model is to
value somewhat more
exotic derivatives such as
bermudan swaptions on...
- on ****ure contracts, bond options,
interest rate cap and floors, and
swaptions. It was
first presented in a
paper written by
Fischer Black in 1976. Black's...
-
referred to as a
bespoke IRS (or
customised IRS).
Bermudan swaptions are
examples of
swaption extensions that
qualify as
exotic variants.
Other products...
- most
general form, today's
prices for a set of caps,
floors or
European swaptions. The
model was
introduced by
Fischer Black and
Piotr Karasinski in 1991...
- SSRN Pedersen,
Claus M. (2003). "Valuation of
Portfolio Credit Default Swaptions".
Lehman Brothers Quantitative Credit Research. Brigo,
Damiano and M****imo...
- prices. This does not
allow for ****ing
options like caps,
floors and
swaptions as the
parameters have been used to fit
linear instruments instead. This...
-
options and
swaptions. Bank of Tokyo-Mitsubishi (1997; $83m loss) - a "systematic
pricing bias" for out-of-the-money and
Bermuda swaptions which had been...
- VIX ****ures for equities, and (with some construction) caps,
floors and
swaptions for
interest rates. Here, the hedge-instrument is
sensitive to the same...
-
distinction holds for
other interest rate derivatives, e.g. caps,
floors and
swaptions. "What Does it Mean to Be "Paid in Arrears?"". Paychex. 2018-03-15. Retrieved...
