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Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors. Within such double-curve-single-currency framework,...

Persistent link: https://www.econbiz.de/10008457180

The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011

Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that...

Persistent link: https://www.econbiz.de/10011259157

Conic CVA and DVA for option portfolios

Bakel, Sjoerd van; Borovkova, Svetlana; Michielon, Matteo - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-30

Persistent link: https://www.econbiz.de/10012496518

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

Persistent link: https://www.econbiz.de/10015158136

Identifying speculative demand shocks in commodity futures markets through changes in volatility

Hachula, Michael; Rieth, Malte - 2017

This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators'...

Persistent link: https://www.econbiz.de/10011619592

Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentarō; Watkins, Clinton - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-17

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …

Persistent link: https://www.econbiz.de/10014284282

The Transmission of Monetary Policy to the Cost of Hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

Persistent link: https://www.econbiz.de/10015211274

Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-17

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs' trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …

Persistent link: https://www.econbiz.de/10014332749

The value of tradeability

Chesney, Marc; Kempf, Alexander - 2011

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

Persistent link: https://www.econbiz.de/10010311650

Trading the bond-CDS basis: The role of credit risk and liquidity

Trapp, Monika - 2009

basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …

Persistent link: https://www.econbiz.de/10010302537