Elias Daboussi

Bank of America

Paris, 75008

France

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Modelling of CMS-Linked Products in an RFR framework, with Extension to Hybrids, Forward Starting and Canary Options

Number of pages: 22 Posted: 21 Jun 2022 Last Revised: 24 Jun 2022
Dominique R. A. Bang and Elias Daboussi
Bank of America and Bank of America
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Abstract:

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Swaptions, CMS, CMS Options, CMS Spread-Options, Forward Smile, Canary Options, LIBOR Reform