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Models for the Interest Rate and Interest Rate Derivatives
2010Pricing interest rate derivatives fundamentally depends on the underlying term structure. The often made assumptions of constant risk free interest rate and its independence of equity prices will not be reasonable when considering interest rate derivatives.
Szymon Borak +2 more
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2020
Interest rate derivatives belong to the most actively traded derivative instruments both on the OTC and on the organized exchange markets. In this chapter, we are going to explain how to build zero coupon curves given various interest rate quotations and how to use the curves to value the basic interest rate derivative contracts.
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Interest rate derivatives belong to the most actively traded derivative instruments both on the OTC and on the organized exchange markets. In this chapter, we are going to explain how to build zero coupon curves given various interest rate quotations and how to use the curves to value the basic interest rate derivative contracts.
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Interest Rate Derivatives Markets
2015There are today, many different interest rates, and since this can be confusing for newcomers to the area, we will spend some time discussing the various types; we will concentrate only on a small number of them, which will form the building blocks for the derivatives markets.
Christian Crispoldi +2 more
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Use of Interest Rate Derivatives
Financial Management, 1990The Chicago Mercantile Exchange funded a study by Block, Gallagher, and Rzepcynski to follow an earlier survey by Block and Gallagher [1]. We have found that the use of interest rate futures and derivatives by Fortune 500 companies has not increased but has actually decreased slightly from 19.2% to 16.5%.
Stanley B. Block +2 more
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2002
There is a great variety of financial derivatives built on our primary traded assets and with additional features such as optionality or agreements with respect to future points in time. This chapter is dedicated to describing and evaluating some of these products, from both a mathematical and practical point of view.
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There is a great variety of financial derivatives built on our primary traded assets and with additional features such as optionality or agreements with respect to future points in time. This chapter is dedicated to describing and evaluating some of these products, from both a mathematical and practical point of view.
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Pricing Interest Rate Derivatives
1996In chapter 1, a three-factor model of interest rates was developed. In the model the three factors are 1) the current short rate, 2) the short-term mean of the short rate, and 3) the current volatility of the short rate. Furthermore, it was assumed that both the mean and the volatility of the short rate are stochastic and follow Feller processes.
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Interest Rate Derivative Securities
2013This chapter is devoted to interest rate derivatives. Interest rate derivatives are financial products derived from interest rates. There are various interest rates that will be mentioned in this chapter. Here we first give the meaning of each interest rate and derive some relations among them.
You-lan Zhu +3 more
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An Infinite Factor Model for the Interest Rate Derivatives
2001In this paper we model the forward rate process as a stochastic partial differential equation in a Sobolev space. We establish the existence of a martingale measure. We also derive the price of a general contigent claim as the solution to a partial differential equation in an appropriate Hilbert space.
Bagchi, Arunabha, Suresh Kumar, K.
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Interest Rates and Financial Derivatives
2012In this chapter we present the basic theory of interest rate instruments and the pricing of financial derivatives. The material we have chosen to present here is interesting and relevant in its own right but particularly so as the basis for the principles and methods considered in subsequent chapters.
Henrik Hult +3 more
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Currency and Interest Rate Derivatives
SSRN Electronic Journal, 2014Currency derivatives are an important tool to manage foreign exchange risk, hedging. Organizations transacting, investing, or operating in other nations appreciate the possibility of managing currency risk. Investors, financial institutions, and businesses use currency derivatives to complement their foreign exchange positions, again mitigating ...
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