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Article information
2003 , Volume 8, ¹ 4, p.5-14
Akume D., Luderer B., Weber G.W.
Pricing and hedging of swaptions
The aim of this paper is to illustrate some techniques in pricing interest rate swaptions, where we discuss the valuation of swaptions following the modified Black model. Finally, we discuss risk parameters and hedging strategies as applicable to swaptions.
[full text] Classificator Msc2000:- *91B24 Price theory and market structure
- 91B26 Market models (auctions, bargaining, bidding, selling, etc.)
- 91B28 Finance, portfolios, investment
Keywords: black model, interest rate swaps, risk parameters, trading strategy
Author(s):
Akume Daniel
Dr.
Office: Computer Science Department, University of Buea, Cameroon
Address: Cameroon, Buea
E-mail: d_akume@yahoo.ca
Luderer Bernd
Office: Chemnits University of Technology
Address: Germany, Chemnitz
E-mail: bernd.luderer@mathematik.tu-chemnitz.de
Weber GerhardW.
Office: Institute of Applied Mathematics, METU
Address: 64289, Turkey, Ankara
E-mail: gweber@metu.edu.tr
Bibliography link:
Akume D., Luderer B., Weber G.W. Pricing and hedging of swaptions // Computational technologies. 2003. V. 8. ¹ 4. P. 5-14
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