Valuation of CMS range notes in a multifactor LIBOR market model-Reference-Cited by-同舟云学术

Valuation of CMS range notes in a multifactor LIBOR market model

Published:2016-03 Issue:01 Volume:03 Page:1650001
ISSN:2424-7863
Container-title:International Journal of Financial Engineering
language:en
Short-container-title:J. Finan. Eng.

Author:

Wu Ping¹,Elliott Robert J.²³⁴

Affiliation:

1. School of Mathematics and Statistics, Nanjing University of Information Science & Technology, No. 219 Nanjing, Jiangsu, China

2. Haskayne School of Business, University of Calgary, 2500 University Dr NW, Calgary, Canada

3. School of Mathematics, University of Adelaide, Adelaide SA 5000, Australia

4. Centre for Applied Financial Studies, University of South Australia, Adelaide SA 5001, Australia

Abstract

In the framework of a multifactor LIBOR market model (LMM), this paper presents a new approach for finding an approximate distribution of constant maturity swap (CMS) rates under the terminal martingale measure. With this approach, we derive an analytical pricing formula for CMS range notes, which is both intuitive and tractable. Many exotic CMS rate derivatives are widely traded in the marketplace or embedded in structure notes.

Publisher

World Scientific Pub Co Pte Lt

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2424786316500018

Reference12 articles.

1. The Market Model of Interest Rate Dynamics

2. VALUATION OF FLOATING RANGE NOTES IN LEVY TERM-STRUCTURE MODELS

3. Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Valuation of certain CMS spreads;Financial Markets and Portfolio Management;2017-11