Dealers query risk management, valuation and default management
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility ...
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More Swaption articles
We present two new efficient methods for the Monte Carlo computation of the (cross-) Gammas of a Bermudan swaption in the LIBOR market model. One approach is a combination of the finite difference method...
Market is split on how to report volumes for multi-legged trades
As 2012 drew to a close, UBS became the second bank to settle a Libor interest rate-rigging investigation, for a sum of roughly $1.5 billion. Royal Bank of Scotland (RBS) is expected to follow shortly,...
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
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