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Slide 1 Hedging the Asset Swap of the JGB Floating Rate Notes Jiakou Wang Presentation at SooChow University March 2009 Slide 2 Contents 1. Introduction 2. Pricing the ASW…

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Hedging the Asset Swap of the JGB Floating Rate Notes Jiakou Wang Presentation at SooChow University March 2009 Contents 1. Introduction 2. Pricing the ASW 3. Hedging the…

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Libor Market Models: the reasons behind the success A focus on calibration Janvier 2002 Introduction Market models have become a standard in the bank industry. This success…