Results 1 to 10 of about 915,115 (354)
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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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.
Peter Cotton +3 more
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Nonparametric Pricing of Interest Rate Derivative Securities* [PDF]
Econometrica, 1996 Summary: We propose a nonparametric estimation procedure for continuous-time stochastic models. Because prices of derivative securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility function unrestricted and estimate it nonparametrically.
Yacine Aït‐Sahalia
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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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A Quantum Mechanics for Interest Rate Derivatives Markets
SSRN Electronic Journal, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Alberto Bueno-Guerrero
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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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Interest Rate Derivatives: An analysis of interest rate hybrid products
, 2011 The globilisation phenomena is causing an increasing interaction between different markets and sectors. This has led to the evolution of derivative instruments from ”single asset” instruments to complex derivatives that have underlying assets from different markets, sectors and sub-sectors. These are the so-called hybrid products that have multi-assets
Taurai Chimanga
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Mechanism and accounting treatment of interest rate swap [PDF]
Bankarstvo, 2015 Interest rate swap is a derivative which is today routinely used in the financial sector worldwide. As opposed to that, the swap market in Serbia is reduced to basic versions of interest rate swaps only, and is limited to the major users and providers of
Prošić Danica
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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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