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