Similar Search Results

Swaps and other derivatives

Flavell, Richard - 2002

Persistent link: https://www.econbiz.de/10001676108

Interest rate swaps in an agency theoretical model with uncertain interest rates

Wall, Larry D. - In: Journal of banking & finance 13 (1989) 2, pp. 261-270

Persistent link: https://www.econbiz.de/10001069316

Banks and derivatives

Gorton, Gary - 1995

Persistent link: https://www.econbiz.de/10000910082

Over-the-counter derivatives and systemic risk to the global financial system

Darby, Michael R. - 1994

Persistent link: https://www.econbiz.de/10000911236

An overview of the valuation of collateralized derivative contracts

Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe - In: Review of derivatives research 17 (2014) 3, pp. 261-286

Persistent link: https://www.econbiz.de/10011293083

Cash-Settled Swaptions : How Wrong are We?

Henrard, Marc P. A. - 2011

The pricing of the European cash-settled swaptions is analysed. The standard market formula results are compared to results obtained from different models. Significant discrepancies are observed, justifying the title

Persistent link: https://www.econbiz.de/10013132576

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 …

Persistent link: https://www.econbiz.de/10013139852

Pricing of Collateralized Derivatives Contracts When More than One Currency are Involved : Liquidity and Funding Value Adjustments

Castagna, Antonio - 2012

collateralized derivative contracts when more than one currency are involved. This can happen for three reasons:1. The contract's pay … currency interest rate swap).We will analyse all the three cases and we will define the liquidity value adjustments and funding …

Persistent link: https://www.econbiz.de/10013105728

On the Reconciliation of the Extended Nelson-Siegel and the Extended Vasicek Models (with a View Towards Swap and Swaption Valuation)

Jørgensen, Peter Løchte - 2013

Extended Nelson-Siegel models are widely used by e.g. practitioners and central banks to estimate current term structures of riskless zero-coupon interest rates, whereas other models such as the extended Vasicek model (a.k.a. the Hull-White model) are popular for pricing interest rate...

Persistent link: https://www.econbiz.de/10013084775

Option Bounds for Short Variance Swaps and the Variance Risk Premium Adjusting for Skewness

Jordan, Steven J. - 2013

Skewness is specifically considered to develop semi-parametric upper bounds for option prices and expected payoﬀs for call options. Bounds on variance default swaps, a new asset, and for the variance risk premium are derived.The Technical Proof for this paper is available at the following URL:...

Persistent link: https://www.econbiz.de/10013089436