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Corporate interest rate risk management with derivatives in Australia: empirical results [PDF]
Revista Contabilidade & Finanças, 2008 Financial and insurance theories explain that large widely-held corporations manage corporate risks if doing so is costective to reduce frictional costs such as taxes, agency costs and financial distress costs.
Luiz Augusto Ferreira Carneiro +1 more
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Analysis of Fractional Order Chaotic Financial Model with Minimum Interest Rate Impact
Fractal and Fractional, 2020 The main objective of this paper is to construct and test fractional order derivatives for the management and simulation of a fractional order disorderly finance system.
Muhammad Farman +4 more
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Derivative Pricing using Quantum Signal Processing [PDF]
Quantum, 2023 Pricing financial derivatives on quantum computers typically includes quantum arithmetic components which contribute heavily to the quantum resources required by the corresponding circuits.
Nikitas Stamatopoulos, William J. Zeng
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The effect of hedging exchange rate risk, interest rate risk and commodity price risk with derivative instruments on firm value [PDF]
Management Science Letters, 2021 The purpose of this paper is to analyze the effects of firm value on hedging for exchange rates, interest rates and commodity price risks using derivative instruments as well as examining different types of derivative instruments, including forward ...
Almas, Nadhifah +3 more
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Pricing interest rate derivatives under volatility uncertainty [PDF]
Annals of Operations Research, 2022 AbstractIn this paper, we study the pricing of contracts in fixed income markets under volatility uncertainty in the sense of Knightian uncertainty or model uncertainty. The starting point is an arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion, which drives the forward rate ...
Julian Hölzermann
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Stochastic Volatility Corrections for Interest Rate Derivatives [PDF]
Mathematical Finance, 2004 We study simple models of short rates such as the Vasicek or CIR models, and compute corrections that come from the presence of fast mean‐reverting stochastic volatility. We show how these small corrections can affect the shape of the term structure of interest rates giving a simple and efficient calibration tool.
Cotton, Peter +3 more
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Stochastic Volatility for Interest Rate Derivatives
SSRN Electronic Journal, 2011 This paper uses an extensive set of market data of forward swap rates and swaptions covering 3 July 2002 to 21 May 2009 to identify a two-dimensional stochastic volatility process for the level of rates. The process is identified step by step by increasing the requirement of the model and introduce appropriate adjustments.
Linus Kaisajuntti, Joanne Kennedy
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Determinants of corporate hedging policies: A case of foreign exchange and interest rate derivative usage [PDF]
, 2011 Talat Afza, Atia Alam
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