Watanabe's expansion: A Solution for the convexity conundrum
By David Garcia-Lorite, Raúl Merino
Rating
1658
Battle Count: 119
Relevance
8/10
Highly relevant for fixed income and interest rate derivatives trading, especially for pricing and risk management of CMS products
Implementation Complexity
7/10
Requires advanced mathematical knowledge and implementation of complex numerical methods
Reproducibility
4/5
The paper provides detailed mathematical derivations and a link to the code repository for implementation
About this paper
Methodology: Watanabe expansion. Problem types: Option pricing, Convexity adjustment calculation.
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