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A discrete-time two-factor model for pricing bonds and interest rate derivatives under random volatility
Heston, Steven L.; Nandi, Saikat - 1999
This paper develops a discrete-time two-factor model of interest rates with analytical solutions for bonds and many … options on discount bonds (and futures) as well as other interest rate derivatives such as caps, floors, average rate options … of the Vasicek 1977 model) in terms of pricing the cross section of spot bonds. This occurs although the one-factor model …
Persistent link: https://www.econbiz.de/10010397477
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Interest rate models : an introduction
Cairns, Andrew J. G. - 2004
Persistent link: https://www.econbiz.de/10004510684
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Index amortizing rate swaps
Galaif, Lisa N. - In: Quarterly Review (1993) Win, pp. 63-70
As short-term interest rates have declined over the past several years, investors have increasingly sought higher yielding investment vehicles. The index amortizing rate (IAR) swap is one of several new instruments that have been developed in response to this investor demand for yield...
Persistent link: https://www.econbiz.de/10005706891
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The pricing and hedging of index amortizing rate swaps
Fernald, Julia D. - In: Quarterly Review (1993) Win, pp. 71-74
Index amortizing rate (IAR) swaps have proved difficult to price because of the complexity of their embedded options. Since these options depend on the path of interest rates, pricing requires a model of interest rate movements. This article uses a simple interest rate model to illustrate the...
Persistent link: https://www.econbiz.de/10005706894
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The effect of interest rate options hedging on term-structure dynamics
Kambhu, John; Mosser, Patricia C. - In: Economic Policy Review (2001) Dec, pp. 51-70
Market participants and policymakers closely monitor movements in the yield curve for information about future economic fundamentals. In several recent episodes, however, disruptions to market liquidity have affected the short-term dynamics of the curve independently of fundamentals. This...
Persistent link: https://www.econbiz.de/10005713014
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Interest rate option pricing with volatility humps
Ritchken, Peter; Chuang, Iyuan - Federal Reserve Bank of Cleveland - 1997
A development of a simple model in which interest rate claims are priced in the Heath-Jarrow-Morton paradigm and so incorporate full information on the term structure. The volatility structure for forward rates is humped and includes as a special case the exponentially dampened volatility...
Persistent link: https://www.econbiz.de/10005526596
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Pricing interest rate swaps in an options pricing framework
Whittaker, J. Gregg - Federal Reserve Bank of Kansas City - 1987
Persistent link: https://www.econbiz.de/10005410840
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Interest rate model theory with reference to the South African market
Van Wijck, Tjaart - 2006
An overview of modern and historical interest rate model theory is given with thespecific aim of derivative pricing. A variety of stochastic interest rate models arediscussed within a South African market context. The various models arecompared with respect to characteristics such as mean...
Persistent link: https://www.econbiz.de/10009442156
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The value of using interest rate derivatives to manage risk of U.S. banking organizations
Elijah Brewer, III; William E. Jackson, III; Moser, James T. - In: Economic Perspectives (2001) Q III, pp. 49-66
This article examines the major differences in the accounting and stock market characteristics of banking organizations that use derivatives relative to those that do not.
Persistent link: https://www.econbiz.de/10005373274
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An analysis of OTC interest rate derivatives transactions: implications for public reporting
Fleming, Michael; Jackson, John; Li, Ada; Sarkar, Asani; … - Federal Reserve Bank of New York - 2012
This paper examines the over-the-counter (OTC) interest rate derivatives (IRD) market in order to inform the design of post-trade price reporting. Our analysis uses a novel transaction-level data set to examine trading activity, the composition of market participants, levels of product...
Persistent link: https://www.econbiz.de/10010551295