A generalized lognormal distribution is used to approximate the distribution of the difference
between two CMS rates. Pricing models for CMS spread options with nonzero strike rates …

In this paper we propose a double curving setup with distinct forward and discount curves to
price constant maturity swaps (CMS). Using separate curves for discounting and forwarding …

In this thesis, we study convexity corrections in the context of pricing exotic European
products whose payoff is a function of some forward swap rate, with Constant Maturity …

The LIBOR market model (LMM) has become the standard model for many kinds of interest
rate derivatives, such as cap contracts. It assumes that the distribution of the one-period …

Despite the fact that currency‐protected swaps and swaptions are widely traded in the
marketplace, pricing models for zero‐spread swaps, and swaptions have rarely been …