Models for Interest Rates and Interest Rate Derivatives
, 2009 This thesis gives an introduction to the principles of modern interest rate theory. After covering the basic tools for working in an environment with stochastic interest rates, we introduce different models for the term structure. The principals of risk neutral pricing are introduced and the Black model is derived.
openaire +3 more sources
Gut microbiome and aging—A dynamic interplay of microbes, metabolites, and the immune system
FEBS Letters, EarlyView.Age‐dependent shifts in microbial communities engender shifts in microbial metabolite profiles. These in turn drive shifts in barrier surface permeability of the gut and brain and induce immune activation. When paired with preexisting age‐related chronic inflammation this increases the risk of neuroinflammation and neurodegenerative diseases.
Aaron Mehl, Eran Blacher
wiley +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
core
OS IMPACTOS DA POLÍTICA MONETÁRIA NA TAXA DE CÂMBIO NO BRASIL: IDENTIFICAÇÃO VIA HETEROCEDASTICIDADE
Revista de Economia Contemporânea, 2017 RESUMO O presente trabalho busca analisar os efeitos da política monetária brasileira sobre a taxa de câmbio, no período de 2004-2016, considerando o problema de endogeneidade da política monetária.
Sílvia Verônica Vilarinho Couto +1 more
doaj +1 more source
On the Hedging of Interest Rate Margins on Bank Demand Deposits. [PDF]
Comput Econ, 2022 Cherrat H, Prigent JL.
europepmc +1 more source
Diversity and complexity in neural organoids
FEBS Letters, EarlyView.Neural organoid research aims to expand genetic diversity on one side and increase tissue complexity on the other. Chimeroids integrate multiple donor genomes within single organoids. Self‐organising multi‐identity organoids, exogenous cell seeding, or enforced assembly of region‐specific organoids contribute to tissue complexity.
Ilaria Chiaradia, Madeline A. Lancaster
wiley +1 more source
Banks’ option to lend, interest rate sensitivity, and credit availability [PDF]
Interest rate risk is a major concern for banks because of the nominal nature of their assets and the asset-liability maturity mismatch. This paper proposes a new way to derive a bank’s interest rate sensitivity, by examining separately the effects of ...
Sarkar, Sudipto, Hasan , Iftekhar
core
Degradation mechanism of the von Willebrand factor A2 domain by nattokinase
FEBS Letters, EarlyView.Nattokinase, a natto‐derived protease, exhibits potent antithrombotic effects. This study demonstrates that nattokinase directly cleaves the von Willebrand factor (vWF) A2 domain in vitro. Unlike the native regulator ADAMTS13, nattokinase degrades folded vWF independently of shear stress.
Ryuichi Hyakumoto +3 more
wiley +1 more source
Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics [PDF]
We investigate the existence of affine realizations for interest rate term structure models driven by Levy processes. Using as numeraire the growth optimal portfolio, we model the interest rate term structure under the real-world probability measure, and
Stefan Tappe, Eckhard Platen
core
Stock market reaction to US interest rate hike: evidence from an emerging market. [PDF]
Heliyon, 2023 Kim J.
europepmc +1 more source