Quantitative Finance
Volume 24, 2024 - Issue 3-4
Open access
649
Views
0
CrossRef citations to date
0
Altmetric
Research Papers
A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
J. H. Hoencamp† Computational Science Lab, University of Amsterdam, Science Park 904, Amsterdam1098XH, Netherlands;§ Quantitative Analytics, ING Bank, Foppingadreef 7, Amsterdam, 1102 BD, NetherlandsCorrespondence[email protected]
View further author information
, View further author information
S. Jain‡ Department of Management Studies, Indian Institute of Science, Bangalore, IndiaView further author information
& B. D. Kandhai† Computational Science Lab, University of Amsterdam, Science Park 904, Amsterdam1098XH, Netherlands;§ Quantitative Analytics, ING Bank, Foppingadreef 7, Amsterdam, 1102 BD, NetherlandsView further author information
Pages 409-432
|
Received 16 Jun 2023, Accepted 20 Jan 2024, Published online: 26 Feb 2024
Reprints and Permissions
This is an open access article distributed under the terms of the Creative Commons CC BY license, which permits unrestricted use, distribution, reproduction in any medium, provided the original work is properly cited.
You are not required to obtain permission to reuse this article in part or whole.
Related research
People also read lists articles that other readers of this article have read.
Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.
Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.