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Libor market models versus swap market models for pricing interest rate derivatives : an empirical analysis
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: European finance review : the official journal of the … 5 (2001) 3, pp. 201-237
Persistent link: https://www.econbiz.de/10001654818
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'Stop-Loss' Strategies : Theory and Application to the Matif Bond Future Contract (In French)
bensaid, bernard - 2011
To explain the existence of stop-loss rules in financial institutions, we develop a principal/agent model, where an investment firm (the principal) has to rely on the expertise of a trader (the agent) to invest in a risky asset (a future contract, say). When the trader faces a limited liability...
Persistent link: https://www.econbiz.de/10013131855
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Swap Futures in HJM One-Factor Model
Kennedy, Gary J. - 2010
Explicit and semi-explicit formulae are obtained for swap futures within a HJM one factor model. The convexity correction due to margining is investigated and found to be (almost) worthless in most cases
Persistent link: https://www.econbiz.de/10013139852
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Average and Compound Futures in HJM One-Factor Model
Kennedy, Gary J. - 2010
Explicit formulae are obtained for pricing futures on average and compound interest rates within a HJM one factor model. A fast, accurate, approximation is obtained for futures on daily compounding rates
Persistent link: https://www.econbiz.de/10013139936
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Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time
Ingo, Beyna - 2012
We investigate the partial differential equation (PDE) for pricing interest derivatives in the multi-factor Cheyette Model, which involves time-dependent volatility functions with a special structure. The high dimensional parabolic PDE that results is solved numerically via a modified sparse...
Persistent link: https://www.econbiz.de/10013099259
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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
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A Quantum Mechanics for Interest Rate Derivatives Markets
Bueno-Guerrero, Alberto - 2020
We present an axiomatic formulation of the Option Pricing Theory for interest rates, completely analogous to axiomatic … Quantum Mechanics. The role of the wave function is played in the financial theory by discounted zero-coupon bond prices. The … theory is model-free and is linked to term structure models through the Hamiltonian operator. Under the quantum framework, we …
Persistent link: https://www.econbiz.de/10012844994
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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
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Tail Hedging Strategies
Strub, Issam S. - 2018
adjusts the exposure level based on a measure of tail risk obtained by applying Extreme Value Theory (EVT) to estimate …
Persistent link: https://www.econbiz.de/10012938485