Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (3/3)
Abstract
IR and Long Term FX Derivatives - Stochastic Martingales for IR Curves - Implied Volatility Along the IR Curve - IR Libor Bonds - Vanilla IR Options: Caplets, Floorlets - Long Term FX Options: Interaction of Stochastic FX and Stochastic IR - $-Yen Bermudan Power Reverse Duals
- Authors:
- Publication Date:
- OSTI Identifier:
- 1026306
- Resource Type:
- Multimedia
- Country of Publication:
- CERN
- Language:
- English
- Subject:
- 99 GENERAL AND MISCELLANEOUS; 97 MATHEMATICS AND COMPUTING; VANILLA OPTIONS; STOCHASTIC; IR CURVE
Citation Formats
Coffey, Brian J., Lynn, Bryan. Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (3/3). CERN: N. p., 2009.
Web.
Coffey, Brian J., Lynn, Bryan. Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (3/3). CERN.
Coffey, Brian J., Lynn, Bryan. Fri .
"Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (3/3)". CERN. https://www.osti.gov/servlets/purl/1026306.
@article{osti_1026306,
title = {Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (3/3)},
author = {Coffey, Brian J., Lynn, Bryan},
abstractNote = {IR and Long Term FX Derivatives - Stochastic Martingales for IR Curves - Implied Volatility Along the IR Curve - IR Libor Bonds - Vanilla IR Options: Caplets, Floorlets - Long Term FX Options: Interaction of Stochastic FX and Stochastic IR - $-Yen Bermudan Power Reverse Duals},
doi = {},
journal = {},
number = ,
volume = ,
place = {CERN},
year = {Fri Nov 06 00:00:00 EST 2009},
month = {Fri Nov 06 00:00:00 EST 2009}
}