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- W1526423193 abstract "An approximation approach to Constant Maturity Swaps (CMS) pricing in the separable one-factor Gaussian LMM and HJM models is presented. The approximation used is a Taylor expansion on the swap rate as a function of a random variable which is intuitively similar to a (short) rate. This approach is different from the standard approach in CMS where the discounting is written as a function of the swap rate. The approximation is very efficient. A similar approach can be used to price CMS caps and floors." @default.
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- W1526423193 date "2007-01-01" @default.
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- W1526423193 title "CMS Swaps and Caps in One-Factor Gaussian Models" @default.
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- W1526423193 doi "https://doi.org/10.2139/ssrn.985551" @default.
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