Interest rate convexity and the volatility smile [PDF]
When pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one often ignores the volatility smile, which is quite pronounced in the interest rate options market.
Boenkost, Wolfram, Schmidt, Wolfgang M.
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System Dynamics Models of Online Lending Platform Based on Vensim Simulation Technology and Analysis of Interest Rate Evolution Trend. [PDF]
Comput Intell Neurosci, 2022 Pang S, Deng C, Chen S.
europepmc +1 more source
Real interest rate persistence: evidence and implications [PDF]
The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. We selectively survey the
Christopher J. Neely, David E. Rapach
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Korea's Neutral Interest Rate: Estimates, Determinants, and Monetary Policy Stance
, 2023 Kang KH, Do K.
europepmc +1 more source
Response of Mexican life and non-life insurers to the low interest rate environment. [PDF]
Geneva Pap Risk Insur Issues Pract, 2022 Reyna AM, Fuentes HJ, Núñez JA.
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The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach [PDF]
This paper considers the estimation of the volatility of the instantaneous short interest rate from a new perspective. Rather than using discretely compounded market rates as a proxy for the instantaneous short rate of interest, we derive a relationship ...
Ram Bhar +3 more
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Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms. [PDF]
Financ Innov, 2021 Depren Ö, Kartal MT, Kılıç Depren S.
europepmc +1 more source
Two-Factor Model for Low Interest Rate Regimes [PDF]
This paper derives a two factor model for the term structure of interest rates that segments the yield curve in a natural way. The first factor involves modelling a non-negative short rate process that primarily determines the early part of the yield ...
Eckhard Platen, Shane Miller
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Asymmetric adjustment of the equilibrium relationship between the nominal interest rate and inflation rate [PDF]
This paper investigates the equilibrium relationship between the nominal interest rate and inflation rate in Japan using a threshold cointegration test, which allows for asymmetric adjustment.
Daiki Maki
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The Multi-Scale Interaction between Interest Rate, Exchange Rate and Stock Price [PDF]
This paper examines the multi-scale relationship between the interest rate, exchange rate and stock price using wavelet transform. In particular, we apply the maximum overlap discrete wavelet transform (MODWT) to the interest rate, exchange rate and ...
Ben Abdallah, Nidhal +2 more
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