Search Results - subject:"INTEREST RATE"

SOFR Derivative Pricing Using a Short Rate Model

Xu, Mingyang - 2022

In 2017 the Alternative Reference Rate Committee (ARRC) recommended the Secured Overnight Financing Rate (SOFR) as the replacement for USD LIBOR as the reference rate for use in derivatives and financial contracts. Since then SOFR-linked derivatives started to develop and their liquidities have...

Persistent link: https://www.econbiz.de/10013307638

Valuation and Risk Management of Vanilla LIBOR Swaptions in a Fallback

Skoufis, Georgios - 2022

of fixings for LIBOR interest rate swaps in terms of the relevant swap rates that reference the Risk-Free Rate that will … swaptions, introduce convexity effects. We use the market standard SABR model for vanilla European interest rate options to …

Persistent link: https://www.econbiz.de/10013309036

Pricing and hedging bond power exchange options in a stochastic string term-structure model

Blenman, Lloyd P.; Bueno-Guerrero, Alberto; Clark, Steven P. - In: Risks : open access journal 10 (2022) 10, pp. 1-17

. In particular, we show that standard formulas for interest rate caplets and floorlets in a LIBOR market model can be …

Persistent link: https://www.econbiz.de/10013555525

Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads

Hanson, Samuel Gregory; Malkhozov, Aytek; Venter, Gyuri - 2022

intermediaries’ supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital …

Persistent link: https://www.econbiz.de/10014255302

Term premium dynamics and its determinants : the Mexican case

Aguilar-Argaez, Ana; Diego-Fernández, María; … - In: Latin American economic review : LAER ; official … 32 (2023), pp. 1-47

determinants explaining its dynamics. We decomposethe long-term interest rate into its two components: the expected short …-terminterest rate and the term premium. The first is obtained using two affine models anddata on interest rate swaps. The second is …

Persistent link: https://www.econbiz.de/10014514715