Results 1 to 10 of about 4,181 (158)
Macro-financial models of Canadian dollar interest rate swap yields. [PDF]
PLoS ONEThis paper analyzes the dynamics of Canadian dollar-denominated (CAD) interest rate swap yields. It applies autoregressive distributive lag (ARDL) models, using monthly time series data, to estimate the effects of the current short-term interest rate on ...
Tanweer Akram, Khawaja Mamun
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Economic Analysis, 2014 Interest rates changes have a huge impact on the business performance. Therefore, it is of great importance for the market participants to identify and adequately manage this risk.
Marina Pepić
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An analytical formula for pricing interest rate swaps in terms of bond prices under the extended Cox-Ingersoll Ross model [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2021 This paper presents an analytical formula for pricing interest rate swaps (IRSs) in terms of bond prices in which the interest rates are assumed to follow the extended Cox-Ingersoll-Ross model.
Nopporn Thamrongrat, Sanae Rujivan
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The importance of swap transactions in the evolution of the Polish currency market and the OTC interest rate derivatives market [PDF]
International Entrepreneurship Review, 2019 Objective: The article aims to present the importance of swap transactions in the evolution of the Polish currency market and the OTC interest rate derivatives market. Research Design & Methods: The theoretical considerations in the article were based
Robert W. Włodarczyk +1 more
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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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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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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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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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Вестник университета, 2023 The paper purpose is to present the theories’ value of the times in political economy for solving modern problems. To achieve this goal, it was necessary to solve the following tasks: to give a brief overview of the comparative advantages’ theory, to ...
M. B. Kitinov
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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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