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Collateralized Swap Structure Valuation

Year: 2025

Type: article

Abstract: Collateralized swap products are instruments designed to allow investors to participate in the hedge fund market. After posting some collateral, clients are entitled to the leveraged returns on a reference basket of hedge funds. At the same time, the investors agree to pay a fee that is based on a floating rate of interest applied to a notional amount and possibly a spread on the basket level.

Source: Knowledge Commons (Lakehead University)

DOI: 10.17613/c7q6q-qy675

Author: Lee, David

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W7080767811

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