Valuation of callable range accrual linked to CMS Spread under generalized swap market model
In this paper, we price a widely-used financial instrument, the callable range accrual linked
to constant maturity swap (CMS) spread, with the least square Monte Carlo method (LSMC) …
to constant maturity swap (CMS) spread, with the least square Monte Carlo method (LSMC) …
Information-theoretic approaches to portfolio selection
N Lassance - Louvain School of Management Doctoral Thesis, 2019 - papers.ssrn.com
Ever since modern portfolio theory was introduced by Harry Markowitz in 1952, a plethora of
papers have been written on the mean-variance investment problem. However, due to the …
papers have been written on the mean-variance investment problem. However, due to the …
Predictive power of the implied volatility term structure in the fixed‐income market
RR Chen, PL Hsieh, J Huang, X Li - Journal of Futures Markets, 2023 - Wiley Online Library
We apply the interest rate model of Chen, Hsieh, and Huang (CHH), the CHH model, to
explore the implied volatility (IV) term structure's predictive power for bond excess returns …
explore the implied volatility (IV) term structure's predictive power for bond excess returns …
A resolution to valuation conflicts of swaptions/caps and OIS/LIBOR
C Ren-Raw, H Pei-Lin, J Huang… - The Journal of Fixed …, 2019 - search.proquest.com
In this article, the authors provide a unified valuation framework under which a multicurve
economy can be established and caps/floors and swaptions can be consistently priced …
economy can be established and caps/floors and swaptions can be consistently priced …
CMS Spread Options Pricing under the CHH Model.
RR Chen, X Li, PL Hsieh - Journal of Fixed Income, 2023 - search.ebscohost.com
Abstract Based on the Chen, Hsieh, and Huang (2017) interest rate model, this research
explores the analytical approach for pricing CMS spread options. We first derive a complex …
explores the analytical approach for pricing CMS spread options. We first derive a complex …
Swaption portfolio risk management: Optimal model selection in different interest rate regimes
The authors formulate a risk-based swaption portfolio management framework for a profit-
and-loss (P&L) explanation. They analyze the implication of using the right volatility …
and-loss (P&L) explanation. They analyze the implication of using the right volatility …