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Interest rate derivative markets in Hungary between 2009 and 2012 in light of the K14 dataset

Kocsis, Zalán; Csávás, Csaba; Mák, István; Pulai, … - 2013

MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...

Persistent link: https://www.econbiz.de/10010222120

Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? : evidence from cross-currency basis swaps

Hattori, Takahiro - In: International review of economics & finance : IREF 79 (2022), pp. 224-240

Persistent link: https://www.econbiz.de/10013343385

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

Dang, Duy-Minh - 2010

We propose a general framework for efficient pricing via a Partial Differential Equation (PDE) approach of cross-currency interest rate derivatives under the Hull-White model. In particular, we focus on pricing long-dated foreign exchange (FX) interest rate hybrids, namely Power Reverse Dual...

Persistent link: https://www.econbiz.de/10013150362

Answer to 'Consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR, CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW' Issued by ISDA

Henrard, Marc P. A. - 2019

This note is an answer the consultation published by ISDA regarding the amendment of documentation to implement fallbacks for certain key IBORs. The answers refer to many technical issues. More details about those issues can be found in the technical note 'A quant perspective on IBOR fallback...

Persistent link: https://www.econbiz.de/10012890972

Implicit Entropic Market Risk-Premium from Interest Rate Derivatives

Arismendi-Zambrano, Juan - 2020

Implicit in interest rate derivatives are Arrow-Debreu prices (or state price densities, SPDs) that contain fundamental information for risk and portfolio management in interest rate markets. To extract such information from interest rate derivatives, we propose a non-parametric method to...

Persistent link: https://www.econbiz.de/10012828071

The LIBOR reader

Booth, P. (contributor) - 2012

Persistent link: https://www.econbiz.de/10009583081

The LIBOR Reader

Booth, Philip; Jeffers, Michael - 2021

addition, many important derivative products are priced using the LIBOR interest rates. These products are used for long … that banks seemed to have been manipulating the rates that are used to calculate LIBOR so that their derivative positions …Short articles on the LIBOR scandal looking for a deeper understanding of the crisisAt the end of June 2012, news of a …

Persistent link: https://www.econbiz.de/10013213236