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Title: 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 = {2009},
month = {11}
}

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