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Valuation of convexity related derivatives
Witzany, Jiří - 2008
tradable underlying assets. Derivatives involving Libor or swap rates in arrears, i.e. rates paid in a wrong time, are a … rigorously that indeed this is not possible in the case of Libor or swap rates in arrears. We will introduce formally the notion …
Persistent link: https://www.econbiz.de/10010322240
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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin - 2008
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...
Persistent link: https://www.econbiz.de/10011604956
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Valuation of convexity related derivatives
Witzany, Jiří (contributor) - 2008
tradable underlying assets. Derivatives involving Libor or swap rates in arrears, i.e. rates paid in a wrong time, are a … rigorously that indeed this is not possible in the case of Libor or swap rates in arrears. We will introduce formally the notion …. -- interest rate derivatives ; Libor in arrears ; constant maturity swap ; valuation models ; convexity adjustment …
Persistent link: https://www.econbiz.de/10003755156
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Finite dimensional realizations of forward price term structure models
Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]
In this paper we study a fairly general Wiener driven model for the term structure of forward prices. The model, under a fixed martingale measure, Q, consists of two infinite dimensional stochastic differential equations (SDEs). The first system is a standard HJM model for (forward) interest...
Persistent link: https://www.econbiz.de/10002450616
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Pricing Derivatives Analytically in a Heteroscedastic VAR Model with Jumps
Vlaar, Peter - 2011
We derive closed-form solutions for option and swaption prices in an economic environment with time-varying second moments and stochastic jumps. Stochastic jumps are an important feature of risk models as the 2008 credit crisis has shown that extreme shocks may happen unexpectedly if the market...
Persistent link: https://www.econbiz.de/10013128777
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Reading Interest Rate and Bond Futures Options' Smiles : How PIBOR and Notional Operators Appreciated the 1997 French Snap Election
Coutant, Sophie - 2011
The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders reacted to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...
Persistent link: https://www.econbiz.de/10013131873
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Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
Fujii, Masaaki - 2011
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric and imperfect collateralization with the...
Persistent link: https://www.econbiz.de/10013131969
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Cash-Settled Swaptions : How Wrong are We?
Henrard, Marc P. A. - 2011
The pricing of the European cash-settled swaptions is analysed. The standard market formula results are compared to results obtained from different models. Significant discrepancies are observed, justifying the title
Persistent link: https://www.econbiz.de/10013132576
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GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Dang, Duy-Minh - 2011
We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX)...
Persistent link: https://www.econbiz.de/10013133913
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Swaptions in Libor Market Model with Local Volatility
Henrard, Marc P. A. - 2010
The Libor Market Model (LMM) describes the evolution of a yield curve through equations for a discrete set of forward …
Persistent link: https://www.econbiz.de/10013136313