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Aldo Shumway

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forward-rate

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Questions (9)

Votes Activity Newest

5	Martingale measure result application for interest rates under T-forward measure?
4	Equality under T-forward measure for convexity adjustment
3	Convexity adjustment when payment if after interest natural term?
3	Change of measure between T-forward and T*-forward contract?
2	How to calculate the product of forward rates with different reset times using Ito's lemma?

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Reputation (232)

+20	Change of measure between T-forward and T*-forward contract?
+10	Convexity adjustment when payment if after interest natural term?
+20	Equality under T-forward measure for convexity adjustment
+10	How to calculate the product of forward rates with different reset times using Ito's lemma?

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Answer (1)

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0	Brownian motion

Tags (19)

0 forward-rate × 6	0 interest-rates × 3
0 risk-neutral-measure × 6	0 libor × 2
0 numerairechange × 5	0 convexity × 2
0 martingale × 5	0 valuation × 2
0 option-pricing × 4	0 market

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Quantitative Finance

232 rep

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