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The Journal of Alternative Investments

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Primary Article

Pricing and Duration of Floaters and Interest Rate Swaps with Embedded Options

Sanjay K. Nawalkha, Jun Zhang and Donald R. Chambers
The Journal of Alternative Investments Spring 1999, 1 (4) 58-70; DOI: https://doi.org/10.3905/jai.1999.318935
Sanjay K. Nawalkha
An associate professor of finance at the University of Massachusetts at Amherst.
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Jun Zhang
A Ph.D. candidate at the University of Massachusetts at Amherst.
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Donald R. Chambers
Walter E. Hanson/KPMG Peat Marwick professor of finance at Lafayette College in Easton, Pennsylvania.
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Abstract

During the recent market turmoil, one of the financial instruments most often discussed was that of interest rate swaps, especially those with embedded options. In this article, one approach to understanding these products is suggested and examples given the interest rate sensitivity of a wide range of various interest rate products.

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The Journal of Alternative Investments
Vol. 1, Issue 4
Spring 1999
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Pricing and Duration of Floaters and Interest Rate Swaps with Embedded Options
Sanjay K. Nawalkha, Jun Zhang, Donald R. Chambers
The Journal of Alternative Investments Mar 1999, 1 (4) 58-70; DOI: 10.3905/jai.1999.318935

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Pricing and Duration of Floaters and Interest Rate Swaps with Embedded Options
Sanjay K. Nawalkha, Jun Zhang, Donald R. Chambers
The Journal of Alternative Investments Mar 1999, 1 (4) 58-70; DOI: 10.3905/jai.1999.318935
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