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Option-Implied Libor Rate Expectations Across Currencies
Gebbia, Nick - 2016
In this paper, I study risk-neutral probability densities regarding future Libor rates denominated in British pounds, euros, and US dollars as implied by option prices. I apply Breeden and Litzenberger's (1978) result regarding the relationship between option prices and implied probabilities for...
Persistent link: https://www.econbiz.de/10013210457
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Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives
Fornari, Fabio - 2021
volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … structure, more evident for dollar and euro rates than for pound rates. The volatility risk premium is strongly changing through …. The latter induce more sizeable changes on compensation for volatility risk of dollar rates than of euro or pound rates …
Persistent link: https://www.econbiz.de/10013316627
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Pricing a Callable Leveraged Constant Maturity Swap Spread Note
Chertok, Daniel L. - 2012
A callable leveraged constant maturity swap (CMS) spread note allows the holder to benefit from future changes in the spread between two swap interest rates. The issues retains the right to call the note at pre-specified times in the future. The note is priced via Monte Carlo simulation using...
Persistent link: https://www.econbiz.de/10013098211
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CMS Spread Options and Similar Options in Multi-Factor HJM Framework
Hanton, Pierre - 2010
Constant maturity swaps (CMS), CMS spreads and similar products are analyzed in multi-factor HJM models. For Gaussian models, which include some Libor Market Models and the G2 model, explicit approximated formula are provided. The approximations are done through two different approaches: an...
Persistent link: https://www.econbiz.de/10013143598
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Jump Activity Analysis for Affine Jump-Diffusion Models : Evidences from the Commodity Market
Da Fonseca, José - 2016
The objective of this paper is to perform a joint analysis of jump activity for commodities and their respective volatility indices. Exploiting the property that for affine jump-diffusion models a volatility index, which is quoted on the market, is an affine function of the instantaneous...
Persistent link: https://www.econbiz.de/10012993290
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Global Dollar Credit : Links to US Monetary Policy and Leverage
McCauley, Robert N. - 2015
Banks and bond investors have extended $9 trillion of US dollar credit to non-bank borrowers outside the United States. This has relevance for the discussion of global liquidity and global monetary policy transmission. This paper contributes to this policy discussion by analysing the links...
Persistent link: https://www.econbiz.de/10013029939
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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...
Persistent link: https://www.econbiz.de/10010338764
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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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Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units
Dang, Duy-Minh - 2010
We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel computation of the price of long-dated foreign exchange...
Persistent link: https://www.econbiz.de/10013150451
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Much ado about nothing : sovereign ratings and government bond yields in the OECD
Shagi, Makram el- - 2016
In this paper, we propose a new method to assess the impact of sovereign ratings on sovereign bond yields. We estimate the impulse response of the interest rate, following a change in the rating. Since ratings are ordinal and moreover extremely persistent, it proves difficult to estimate those...
Persistent link: https://www.econbiz.de/10011500161