Benjamin Giardina

Natixis

Natixis

47 quai d'Austerlitz

Paris, 75013

France

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Scholarly Papers (1)

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Hull & White Convexity Adjustments for Credit-Riskless Interest Rate Swaps Under CSA

Hull & White Convexity Adjustments for Credit-Riskless Interest Rate Swaps Under CSA, Wilmott Magazine issue 64, Copyright © 2013, Wilmott.
Number of pages: 15 Posted: 08 Jul 2013
Denis Papaioannou, Meriem Chouqi and Benjamin Giardina
Tenokonda, MargoConseil and Natixis
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Abstract:

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CSA convexity, IRS, OIS-IBOR dynamics, Hull & White, CSA unmanaged risk