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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 concerning this subject matter. This study introduces a novel approach to modeling interest rates, focusing on the impact of central banks' scheduled interventions and their...
Persistent link: https://www.econbiz.de/10014501143
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Estimation of default risk through Merton's distance to default model : an empirical study of four Indian Public Sector banks
Bendigeri, Raghavendra S. - In: International journal of business and globalisation : IJBG 37 (2024) 4, pp. 535-554
Persistent link: https://www.econbiz.de/10015063989
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Currency options, implied interest rates and inflation targeting
Keefe, Helena Glebocki; Rengifo, Erick W. - In: International journal of economics and finance 11 (2019) 2, pp. 119-136
Persistent link: https://www.econbiz.de/10011995167
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Option pricing: channels, target zones and sideways markets
Kakushadze, Zura - In: Bulletin of applied economics 7 (2020) 2, pp. 25-33
Persistent link: https://www.econbiz.de/10012813830
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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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Predicting financial distress in a high-stress financial world : the role of option prices as bank risk metrics
Coffinet, Jérôme; Pop, Adrian; Tiesset, Muriel - 2010
Persistent link: https://www.econbiz.de/10009381117
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Monitoring financial distress in a high-stress financial world : the role of option prices as bank risk metrics
Coffinet, Jérôme; Pop, Adrian; Tiesset, Muriel - In: Journal of financial services research : JFSR 44 (2013) 3, pp. 229-257
Persistent link: https://www.econbiz.de/10010336307
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Estimating volatility clustering and variance risk premium effects on bank default indicators
Kenç, Turalay; Cevik, Emrah Ismail - In: Review of quantitative finance and accounting 57 (2021) 4, pp. 1373-1392
Persistent link: https://www.econbiz.de/10012660703
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Bank default indicators with volatility clustering
Kenç, Turalay; Cevik, Emrah Ismail; Dibooglu, Sel - In: Annals of finance 17 (2021) 1, pp. 127-151
Persistent link: https://www.econbiz.de/10012489940