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
