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        <dc:title>CMS swaps in separable one-factor Gaussian LLM and HJM model</dc:title>
        <dc:creator>Henrard, Marc</dc:creator>
        <dc:subject>G13 - Contingent Pricing ; Futures Pricing</dc:subject>
        <dc:subject>C63 - Computational Techniques ; Simulation Modeling</dc:subject>
        <dc:subject>E43 - Interest Rates: Determination, Term Structure, and Effects</dc:subject>
        <dc:description>An approximation approach to Constant Maturity Swaps (CMS) pricing in the separable one-factor Gaussian LLM and HJM models is presented. The approximation used is a Taylor expansion on the swap rate as a function of a random variable which is intuitively similar to a (short) rate. This approach is different from the standard approach in CMS where the discounting is written as a function of the swap rate. The approximation is very efficient.</dc:description>
        <dc:date>2007-05-08</dc:date>
        <dc:type>MPRA Paper</dc:type>
        <dc:type>NonPeerReviewed</dc:type>
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        <dc:language>en</dc:language>
        <dc:identifier>https://mpra.ub.uni-muenchen.de/3228/1/MPRA_paper_3228.pdf</dc:identifier>
        <dc:identifier>  Henrard, Marc  (2007): CMS swaps in separable one-factor Gaussian LLM and HJM model.    </dc:identifier>
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