This paper investigates the linkage between the USD and HKD swap curves. We argue that these curves contain important information, which is over and above that provided by the sovereign yield curves and the standard measures of market liquidity, Libor-type interest rates. Our work indicates that...

In this paper we investigate the dynamics of Hong Kong cap-floor volatilities and compare their dynamics with the US cap-floor volatilities. We use linear and non-linear factor models and VAR's. The results show that the first principal components, both linear and non-linear, do a very good job...

Many developing economies are heavily exposed to commodity markets, leaving them vulnerable to the vagaries of international commodity prices. This paper examines the use of commodity options - including plain vanilla, risk reversal, and barrier options - to hedge such risk. It then proposes the...

This paper investigates the linkage between the USD and HKD swap curves. We argue that these curves contain important information, which is over and above that provided by the sovereign yield curves and the standard measures of market liquidity, Libor-type interest rates. Our work indicates that...

This note explores the temporal relationship among US interest rate swap spreads, US corporate credit spreads, LIBOR and the shape of the Treasury yield curve by performing cointegration test and estimating an error correction model. One cointegrating relationship is found, implying that a...

This paper investigates to what extent liquidity, credit, and market volatility determine swap spreads dynamics. We find that the liquidity factor plays the leading role and renders significantly negative impacts on swap spreads. This finding stands in line with the prevailing view among swap...

Contingent credit lines (CCLs) are widely used in bank lending and also play an important role in the functioning of short-term capital markets. Yet, their pricing and hedging has not received much attention in the finance literature. Using a financial engineering approach, the paper analyzes...

This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by...