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Wiley InterScience | ||||||||||||||
  Economic NotesVolume 33 Issue 2, Pages 209 - 232 Published Online: 21 Sep 2004 Journal compilation © Banca Monte dei Paschi di Siena SpA 2009
Abstract | References | Full Text: PDF (Size: 257K) | Related Articles | Citation Tracking  The Co‐initial Swap Market Model Copyright Banca Monte dei Paschi di Siena SpA, 2004 ABSTRACTIn this paper, we introduce a novel approach to the pricing and the risk management of generic European style interest‐rate derivatives. This new model has great flexibility and has the advantage of avoiding complex model calibration techniques typical of standard short‐rate models. Dynamics is assigned on a set of co‐initial forward swap rates, and arbitrage‐free restrictions are determined in a normal and lognormal setup. Model implementation and calibration are discussed, and details of two example applications are also presented. (J.E.L.: G12, G13). Received: 28 February 2002; Accepted: 09 September 2002; | 
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IT'S TIME TO RENEW
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