CMS derivatives are contingent claims whose payoffs are function of on CMS rates. The one studied in this paper is the CMS swap. It is a swap with one of its
a new prudential requisite for regulatory capital including valuation uncertainty. These articles are short enough to report a section-by-section summary
Jan 28 2019 The IBOR swap markets have such swap bench- marks
“ Valuation of Convexity Related Derivatives ” IES Working Paper 4/2008. IES a constant maturity swap we will call the approach Valuation Method no.2.
Sep 30 2018 7. similarity with the structure of overnight index swaps that ... In this approach the rate replacing the IBOR rate fixing at date t0 is ...
This approach is also analysed in more detail in [And13]. In this paper we derive a transformation of the implied volatility smile for swaptions and caplets
This paper prepared by Policy Department A elaborates on this phenomenon from a legal perspective focusing on the use of cryptocurrencies for financial crime
Jun 30 2020 9 See Financial Services Authority
Apr 20 2015 multiple testing approach in the finance literature