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Smiling at Convexity: Bridging Swaption Skews and CMS Adjustments

200612 citationsJournal Articlegreen Open Access

Authors

Fabio Mercurio · Bloomberg (United States)

Andrea Pallavicini · Intesa Sanpaolo (Italy)

Topics & Keywords

Credit Risk and Financial Regulations Stochastic processes and financial applications Banking stability, regulation, efficiency

Publication Details

Published in: SSRN Electronic Journal

DOI: 10.2139/ssrn.892287

Smiling at Convexity: Bridging Swaption Skews and CMS Adjustments | Researchclopedia