{"title":"利率掉期的分析delta","authors":"Adriano Queiroz de Mesquita","doi":"10.2139/ssrn.3854835","DOIUrl":null,"url":null,"abstract":"As markets become more electronic and inevitably faster, we see the increasing importance of efficient methods for pricing and risk. This paper introduces analytical deltas for general interest rate swaps.","PeriodicalId":119398,"journal":{"name":"Political Economy - Development: Fiscal & Monetary Policy eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Analytical Deltas for Interest Rate Swaps\",\"authors\":\"Adriano Queiroz de Mesquita\",\"doi\":\"10.2139/ssrn.3854835\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"As markets become more electronic and inevitably faster, we see the increasing importance of efficient methods for pricing and risk. This paper introduces analytical deltas for general interest rate swaps.\",\"PeriodicalId\":119398,\"journal\":{\"name\":\"Political Economy - Development: Fiscal & Monetary Policy eJournal\",\"volume\":\"9 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-05-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Political Economy - Development: Fiscal & Monetary Policy eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3854835\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Political Economy - Development: Fiscal & Monetary Policy eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3854835","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
As markets become more electronic and inevitably faster, we see the increasing importance of efficient methods for pricing and risk. This paper introduces analytical deltas for general interest rate swaps.
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