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B. Luderer, O. Zuchanke : Ein einheitlicher Zugang zum Pricing von Swaps

B. Luderer, O. Zuchanke : Ein einheitlicher Zugang zum Pricing von Swaps


Author(s) :
B. Luderer, O. Zuchanke
Title :
Ein einheitlicher Zugang zum Pricing von Swaps
Electronic source :
[gzipped ps-file] 115 kB
Preprint series
Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 2000-14, 2000
Mathematics Subject Classification :
90A09 [ Finance, etc. ]
Abstract :
A unified approach for the pricing of swaps is given. Starting from the study of cross-currency swaps being as general as possible with respect to time (maturity date), principal and interest rates, a number of special swap constructions is priced, among them interest-rate swaps and basis swaps. Several examples demonstrate the formulas derived.
Keywords :
financial mathematics, investment banking, financial procucts, swaps, pricing, interest rate, fair price
Language :
english
Publication time :
12/2000

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