A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA

Hoencamp, J. H.; Jain, S.; Kandhai, B. D.

doi:10.1080/14697688.2024.2312523

Quantitative Finance

2024

DOI: 10.1080/14697688.2024.2312523

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A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA

J. H. Hoencamp,

S. Jain,

B. D. Kandhai

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A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA

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References 33 publications

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