0000000000820187

AUTHOR

Heikki Seppälä

showing 2 related works from this author

Closed Form Approximation of Swap Exposures

2013

This paper provides closed form lower and upper bounds for the price of European swaption on cross currency basis swap with the presence of dynamic basis spreads. Cross currency basis spreads are treated as integrals of spot spreads, approach familiar from interest rate models. The spot spread is modelled by two-factor mean reverting Gaussian model that is equivalent to two-factor Hull-White model introduced by [Hull and White(1994)]. This model allows closed form approximations and relatively well fitting and simple calibration to the spread term structure.

SwaptionFinancial economicsmedia_common.quotation_subjectInterest ratesymbols.namesakeClosed form approximationBasis swapSwap (finance)HullEconomicssymbolsMean reversionApplied mathematicsGaussian network modelmedia_commonSSRN Electronic Journal
researchProduct

On the optimal approximation rate of certain stochastic integrals

2010

AbstractGiven an increasing function H:[0,1)→[0,∞) and An(H)≔infτ∈Tn(∑i=1n∫ti−1ti(ti−t)H(t)2dt)12, where Tn≔{τ=(ti)i=0n:0=t0<t1<⋯<tn=1}, we characterize the property An(H)≤cn, and give conditions for An(H)≤cnβ and An(H)≥1cnβ for β∈(0,1), both in terms of integrability properties of H. These results are applied to the approximation of stochastic integrals.

Discrete mathematicsMathematics(all)Numerical AnalysisRegular sequencesGeneral MathematicsApplied MathematicsStochastic integralsNon linear approximationFunction (mathematics)CombinatoricsNon-linear approximationFunction compositionAnalysisMathematicsJournal of Approximation Theory
researchProduct