Results 311 to 320 of about 1,430,771 (388)

Interest Rate Derivatives Markets

2015
There 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, Gérald Wigger, Peter Larkin   +2 more
openaire   +1 more source

Pricing Interest Rate-Sensitive Credit Portfolio Derivatives

SSRN Electronic Journal, 2006
In this paper we present a modelling framework for portfolio credit risk which incorporates the dependence between risk-free interest-rates and the default loss process. The contribution in this approach is that - besides the traditional diffusion based covariation between loss intensities and interest-rates - a direct dependence between interest-rates
Philippe Ehlers, Philipp J. Schonbucher
openaire   +2 more sources

Use of Interest Rate Derivatives

Financial Management, 1990
The 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, Timothy J. Gallagher, Mark S. Rzepcynski   +2 more
openaire   +1 more source

Models for the Interest Rate and Interest Rate Derivatives

2010
Pricing 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, Wolfgang Karl Härdle, Brenda López Cabrera   +2 more
openaire   +1 more source

Interest-Rate Derivatives

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.
openaire   +1 more source

PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES

International Journal of Theoretical and Applied Finance, 2018
The goal of this paper is to develop a reduced-form model for pricing derivatives on the overnight rate. The model incorporates jumps around central bank (CB) meetings. More specifically, rate changes are decomposed into fluctuations between CB meetings and deterministic timed jumps following CB meetings.
ALAN DE GENARO, MARCO AVELLANEDA
openaire   +1 more source

Short-Term Interest-Rate Derivatives

2005
The market in short-term interest-rate derivatives is large and liquid, and the instruments involved are used for a variety of purposes. Here we review the two main contracts used in money markets trading, the short-term interest rate future and the forward rate agreement.
Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar   +3 more
openaire   +1 more source

Interest Rate Derivatives Explained

2014
1. Clearing, Collateral, Pricing 2. Rates 3. Markets and Products: Deposits, Bonds, Futures, Repo 4. Markets and Products: FRA and Swaps 5. Using Curves 6. Options I 7.
openaire   +1 more source

Pricing Interest Rate Derivatives

1996
In 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.
openaire   +1 more source

Interest rate derivatives

2010
Sound investment decisions require an in-depth knowledge of the financial markets and available financial instruments. This book provides students and professionals with an understanding of the role and activities of an equity security analyst within the investment process.
openaire   +1 more source