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Quantitative Finance Volume 24, 2024 - Issue 3-4
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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]
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S. Jain‡ Department of Management Studies, Indian Institute of Science, Bangalore, IndiaView further author information
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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

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