Similar Search Results

Discretely distributed scheduled jumps and interest rate derivatives : pricing in the context of central bank actions

Silva, Allan Jonathan da; Baczynski, Jack - In: Economies : open access journal 12 (2024) 3, pp. 1-29

Interest rate dynamics are influenced by various economic factors, and central bank meetings play a crucial role … for fast and efficient interest rate derivative pricing. Our methodology incorporates this method. The results obtained in …

Persistent link: https://www.econbiz.de/10014501143

Essays in asset pricing and macroeconomics

Bikbov, Ruslan - 2006

Persistent link: https://www.econbiz.de/10009273658

Pricing Interest Rate Derivatives Under Monetary Policy Changes

Genaro, Alan - 2013

changes in the target rate during Central Bank's meetings into interest rate futures and option pricing. We calibrate the … overnight interest rate derivative market which is used by market participants to bet on future monetary decisions …

Persistent link: https://www.econbiz.de/10013091162

Does federal funds futures rate contain information about the treasury bill rate?

Kishor, N. Kundan; Marfatia, H. A. - In: Applied financial economics 23 (2013) 16/18, pp. 1311-1324

Persistent link: https://www.econbiz.de/10010259457

Fed funds futures variance futures

Filipović, Damir; Trolle, Anders B. - 2015

We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model-independent in a general setting that includes the cases...

Persistent link: https://www.econbiz.de/10011293604