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| Author: | Choy, B. Dun, T. Schlögl, E. |
| Title: | Correlating market models |
| Journal: | Risk
2004 : SEP, VOL. 17:9, p. 124-129 |
| Index terms: | financial markets interest rates investments swaps market swaps |
| Language: | eng |
| Abstract: | In theory, swaption prices contain information on interest rate correlation. In this article, the writers argue that the information cannot be extracted. They propose that pricing correlation-sensitive instruments in a model calibrated to caps and swaptions must be done with consideration. |
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