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Valuation of interest rate swap default risk.
, 1991 This thesis presents a valuation model for the default risk of an interest rate swap to a riskless swap dealer. Previous studies evaluated the default risk of an interest rate swap by assuming that swap default probability is independent of interest rate
Chung, Taeyoung
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Mathematics, 2021 At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
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A Jurisprudential Feasibility Study of Designing Interest Rate Swap in Proportion to the Iranian Capital Market [PDF]
تحقیقات مالی اسلامی (پیوسته), 2013 Swap contracts, as kind of derivative instruments, are of high importance and usage in financial markets. One widely-used sort of them is interest rate swap contract. As the Iranian financial market is developing, it is needed that all new instruments be
Gholam Ali Masouminia, Mahdi Elahi
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Monetary policy shocks and the signaling channel of monetary policy in China
China Economic Quarterly International, 2023 This paper identifies exogenous monetary policy shocks based on the high frequency transaction data of China's interest rate swap market, and explores the ‘signaling channel’ of monetary policy by investigating the transmission of different monetary ...
Zhenzhu Chen, Li Li, Changhua Yu
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Partitioning qubits in hypergraph product codes to implement logical gates [PDF]
Quantum, 2023 The promise of high-rate low-density parity check (LDPC) codes to substantially reduce the overhead of fault-tolerant quantum computation depends on constructing efficient, fault-tolerant implementations of logical gates on such codes.
Armanda O. Quintavalle +2 more
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Interest Rate Capped Swap and Valuation
, 2020 A capped swap is an interest rate swap with an interest rate cap option where the floating rate of the swap is capped at a certain level while a floored swap is an interest rate swap with a floor option where the floating rate of the swap is floored at a
Alan Xie
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Interest Swaps in Croatian Banking Possibilities of Application [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2004 The author analyzes interest rate trends in the Republic of Croatia within the period 1992-2003. What are the means of protecting against interest risks have also been subject to analysis, although in practice it very often comes down to setting variable
Antun Jurman
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Mathematics, 2022 In Basel III, the credit valuation adjustment (CVA) was given, and it was discussed that a bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The purpose of this study is threefold. Using the logistic distribution,
Yanlai Song +3 more
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Valuation of Interest Rate Capped Swap
, 2020 A capped swap is an interest rate swap with an interest rate cap option where the floating rate of the swap is capped at a certain level while a floored swap is an interest rate swap with a floor option where the floating rate of the swap is floored at a
David Lee
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ANALYZING THE EUROPEAN MARKET OF INTEREST RATE SWAP INDICES [PDF]
Annals of the University of Oradea: Economic Science, 2012 The interest rate risk is the most important risk that derives from the OTC transactions, taking into consideration both the notional amounts and the market value of the financial derivatives that relies on interest rate contracts.
Mutu Simona, Petria Nicolae, Trenca Ioan
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