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Swaption
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#	Item
81	Semi-analytic valuation of credit linked swaps in a Black-Karasinski framework ¨ Peter Jackel Quant Congress Europe Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2009-05-19 13:11:19 Mathematical finance Interest rates Fixed income analysis Hull–White model Interest rate swap Black–Karasinski model Swaption Swap Yield curve Financial economics Finance Economics
82	Wo r k i n g Pa p e r S e r i e S NO[removed]j a n u a r y 2013 Interest rate volatility A consol rate-based measure Vincent Brousseau and Alain Durré Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2013-01-22 08:29:58 Options Investment Volatility Implied volatility Stochastic volatility Swaption Yield curve Black–Scholes Eonia Mathematical finance Financial economics Finance
83	A STOCHASTIC VOLATILITY MODEL FOR BERMUDA SWAPTIONS AND CALLABLE CMS SWAPS CLAUDIO ALBANESE AND MANLIO TROVATO Abstract. It is widely recognized that fixed income exotics should be priced by means of a stochastic volatil Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:17 Investment Volatility smile Implied volatility Swaption Volatility Hull–White model Local volatility Interest rate derivative Stochastic volatility Mathematical finance Financial economics Finance
84	Derivatives Intelligence OIS Roundtable 2013 Since the latter part of 2007, there has been an increased switch by market participants in adopting overnight indexed swap discounting for interest rate swaps. Last year, Der Add to Reading List Source URL: www.bloomberg.com Language: English - Date: 2014-05-16 19:15:31 United States housing bubble Collateral management Credit Derivative Interest rate swap Libor Forward contract Swaption LCH.Clearnet Financial economics Finance Economics
85	Chapter 1 Theory and Practice of Option Modelling 1.1 Add to Reading List Source URL: media.wiley.com Language: English - Date: 2007-10-05 18:43:26 Options Investment Implied volatility Local volatility Volatility Swaption Valuation of options Hedge Model risk Financial economics Mathematical finance Finance
86	Global Valuation Approach, an Application to Interest Rates Giovanni Bruno November 6, 2012 Contents Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:37 Economics Options Stock market Risk-neutral measure Quantitative analyst Black–Scholes Fundamental theorem Economic model Swaption Financial economics Finance Mathematical finance
87	Microsoft Word[removed]Interest Rate Transactions.doc Add to Reading List Source URL: www.ebf-fbe.eu Language: English - Date: 2014-03-18 07:18:00 Mathematical finance Debt Forward rate agreement Interest rate swap Day count convention Swaption Interest Swap Derivative Financial economics Finance Investment
88	CONSULTATION PAPER ON EBA DRAFT RTS AND ITS ON BENCHMARKING PORTFOLIOS Annex VII.a: EBA proposal for Market Risk benchmark portfolios. 1. Add to Reading List Source URL: www.eba.europa.eu Language: English - Date: 2014-05-28 09:39:51 Options Swaption Interest rate swap Investment Swap Bond Hedge Futures contract Interest rates Financial economics Finance Economics
89	Assessing the compensation for volatility risk implicit in interest rate derivatives Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2008-01-31 11:31:50 Options Investment Implied volatility Volatility Swaption Black–Scholes Stochastic volatility Yield curve Power reverse dual currency note Financial economics Mathematical finance Finance
90	Deadline[removed] CET Comments Template on CEIOPS-CP 70 Consultation Paper on the Draft L2 Advice on Calibration of the market risk module Add to Reading List Source URL: eiopa.europa.eu Language: English - Date: 2010-09-06 07:16:23 Financial risk Finance Options Fixed income market Monetary policy Swaption Market risk Yield curve European Insurance and Occupational Pensions Authority Mathematical finance Financial economics Economics

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