Results 31 to 40 of about 416,897 (325)
Between Scylla and Charybdis: The Bermudan Swaptions Pricing Odyssey
Mathematics, 2021 Bermudan swaptions are options on interest rate swaps which can be exercised on one or more dates before the final maturity of the swap. Because the exercise boundary between the continuation area and stopping area is inherently complex and multi ...
Dariusz Gatarek, Juliusz Jabłecki
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Cash flow hedges using interest rate swaps: accounting under IFRS
Економіка, управління та адміністрування, 2020 The paper discloses the accounting treatment for cash flow hedge of exposure to risks arising from the changes in cash flows of financial instruments, in which interest rate swaps are used as hedging instruments. The author considers the economic meaning
V.S. Ambarchian
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Fractal and Fractional, 2022 This paper presents an explicit formula of conditional expectation for a product of polynomial functions and the discounted characteristic function based on the Cox–Ingersoll–Ross (CIR) process.
Ratinan Boonklurb +3 more
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Pricing of Credit Risk Derivatives with Stochastic Interest Rate
Axioms, 2023 This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default ...
Wujun Lv, Linlin Tian
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Credit Default Swaps in the External Public Debt Management [PDF]
Problemi Ekonomiki, 2020 The article aims at systematizing the theoretical and methodological foundations of using credit default swaps in the external public debt management. Theoretical principles of using credit default swaps in the external public debt management are studied.
Lupenko Andrii Yu.
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Interest Rate Swap Market Complexity and Its Risk Management Implications
Complexity, 2018 The primary objective of this paper is to study the post Dodd-Frank network structure of the interest rate swap market and propose a set of effective complexity measures to understand how the swap users respond to market risks.
Steve Y. Yang, Esen Onur
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Repeating Christmas jump in LIBOR [version 2; peer review: 2 approved]
F1000Research, 2023 Background: London Interbank Offered Rate (LIBOR) exists since 1986 as a benchmark interest rate. Methods: Using two-layer linear regression method, we found a pattern of shortterm nature in LIBOR behaviour.
Vikenty Mikheev, Serge E. Miheev
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Osservazioni a margine della sentenza a sezioni unite della Corte di Cassazione del 12 maggio 2020 n. 8770 [PDF]
IANUS Diritto e Finanza, 2020 Giurisprudenza ...
Eleonora Forcignanò
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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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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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