Henrard, Marc (2007): CMS swaps in separable onefactor Gaussian LLM and HJM model.

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Abstract
An approximation approach to Constant Maturity Swaps (CMS) pricing in the separable onefactor 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.
Item Type:  MPRA Paper 

Institution:  Bank for International Settlements 
Original Title:  CMS swaps in separable onefactor Gaussian LLM and HJM model 
Language:  English 
Keywords:  CMS swap; LLM model; HJM model; one factor; approximation 
Subjects:  G  Financial Economics > G1  General Financial Markets > G13  Contingent Pricing ; Futures Pricing C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E43  Interest Rates: Determination, Term Structure, and Effects 
Item ID:  3228 
Depositing User:  Marc Henrard 
Date Deposited:  14. May 2007 
Last Modified:  11. Feb 2013 20:36 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/3228 