Your download is now in progress and you may close this window

Did you know that with a free Taylor & Francis Online account you can gain access to the following benefits?

Choose new content alerts to be informed about new research of interest to you
Easy remote access to your institution's subscriptions on any device, from any location
Save your searches and schedule alerts to send you new results
Export your search results into a .csv file to support your research

Have an account?
Login now Don't have an account?
Register for free

Login or register to access this feature

Have an account?
Login now Don't have an account?
Register for free

Choose new content alerts to be informed about new research of interest to you
Easy remote access to your institution's subscriptions on any device, from any location
Save your searches and schedule alerts to send you new results
Export your search results into a .csv file to support your research

Search in:

Advanced search

Quantitative Finance Volume 24, 2024 - Issue 3-4

Submit an article Journal homepage

Open access

512

Views

CrossRef citations to date

Altmetric

Research Papers

A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA

J. H. Hoencamp† Computational Science Lab, University of Amsterdam, Science Park 904, Amsterdam1098XH, Netherlands;§ Quantitative Analytics, ING Bank, Foppingadreef 7, Amsterdam, 1102 BD, NetherlandsCorrespondence[email protected]
View further author information

S. Jain‡ Department of Management Studies, Indian Institute of Science, Bangalore, IndiaView further author information

B. D. Kandhai† Computational Science Lab, University of Amsterdam, Science Park 904, Amsterdam1098XH, Netherlands;§ Quantitative Analytics, ING Bank, Foppingadreef 7, Amsterdam, 1102 BD, NetherlandsView further author information

Pages 409-432 | Received 16 Jun 2023, Accepted 20 Jan 2024, Published online: 26 Feb 2024

Cite this article
https://doi.org/10.1080/14697688.2024.2312523
CrossMark

Full Article
Figures & data
References
Citations
Metrics
Licensing
Reprints & Permissions
View PDF PDF View EPUB EPUB

Citations (0)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Share icon
Back to Top

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.

People also read
Recommended articles
Cited by

To cite this article:

Reference style: APA Chicago Harvard

Citation copied to clipboard

Reference styles above use APA (6th edition), Chicago (16th edition) & Harvard (10th edition)

Download citation

Download a citation file in RIS format that can be imported by citation management software including EndNote, ProCite, RefWorks and Reference Manager.

Choose format: RIS BibTex RefWorks Direct Export

Choose options: Citation Citation & abstract Citation & references