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An Accompaniment to a Course on Interest Rate Modeling : With Discussion of Black-76, Vasicek and HJM Models and a Gentle Introduction to the Multivariate LIBOR Market Model

Nekrasov, Vasily - 2013

The goal of this paper is to help the motivated students with their course on interest rate modeling and/or to help them learn the LIBOR model by themselves. It implies the reader knows what forward rates, caps, and swap[tion]s are and has some knowledge of the quantitative finance: at least Ito...

Persistent link: https://www.econbiz.de/10013091656

Hybrid Equity-Interest Rate Model with Stochastic Interest Rate and Volatility

Mrad, Moez - 2014

This paper presents an Equity-IR hybrid model that fits in the class of affine diffusion processes. In the absence of cash dividend payment, the moment generating function can be easily and rapidly computed. This allows for an efficient calibration of the model based on Vanilla European Options...

Persistent link: https://www.econbiz.de/10013054294

Interest Rate Swap Compounding Formulae

Burgess, Nicholas - 2021

Persistent link: https://www.econbiz.de/10013217334

Interest, debt and capital accumulation - a Kaleckian approach ; paper presented at the conference "Understanding Economic Growth: New Directions in Theory and Policy", Downing Col...

Hein, Eckhard - 2005

In the present paper we explicitly introduce interest payments and debt into a Kaleckian distribution and growth model … the equilibrium debt-capital-ratio are also analysed. It is shown, that the effects of interest variations on the … interest rate and the debt-capital-ratio. If the conditions for short-run "normal" effects of interest rate variations are …