Results 31 to 40 of about 776,813 (316)
The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management [PDF]
, 2011 Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 ...
Bianchetti, Marco
core +2 more sources
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments [PDF]
, 2015 We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient
Crepey, Stephane +3 more
core +2 more sources
On Pricing Basket Credit Default Swaps [PDF]
, 2012 In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model.
Ching, Wai-Ki +3 more
core +2 more sources
Affine LIBOR models with multiple curves: theory, examples and calibration [PDF]
, 2014 We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework.
Grbac, Zorana +3 more
core +5 more sources
, 2008 In [10] we presented a reduced form of risky bond pricing. At default date, a bond seller fails to continue fulfilling his obligation and the price of the bond sharply drops. For nodefault scenarios, if the face value of the defaulted bond is $1 then the
Gikhman, Ilya
core +3 more sources
Corporate Payout Policy and Credit Risk: Evidence from Credit Default Swap Markets
Management Sciences, 2020 We examine whether and how payout policy affects credit risk using evidence from the credit default swap (CDS) market. CDS spreads increase substantially in response to announcements of dividend cuts, especially during recessions and among firms ...
Chengzhu Sun, Shujing Wang, Chu Zhang
semanticscholar +1 more source
Behavioral finance impacts on US stock market volatility: an analysis of market anomalies
Behavioural Public PolicyThis study investigates the impacts of behavioral finance on stock market volatility. The primary aims are to explain the reasons behind changes in the S&P 500 price within the context of behavioral finance and to analyze investor behavior in response ...
Isik Akin, Meryem Akin
semanticscholar +1 more source
FEBS Letters, EarlyView.B cells sense external mechanical forces and convert them into biochemical signals through mechanotransduction. Understanding how malignant B cells respond to physical stimuli represents a groundbreaking area of research. This review examines the key mechano‐related molecules and pathways in B lymphocytes, highlights the most relevant techniques to ...
Marta Sampietro +2 more
wiley +1 more source
A Hierarchical-Dealer-Centric Model of FX Swap Valuation
Journal of Accounting and FinanceThis paper constructs a model of foreign exchange (FX) swap valuation based on dealers’ behavior and the hierarchy of the global dollar funding system. International investors use these currency derivatives to synthetically fill their US-dollar funding ...
Elham Saeidinezhad
semanticscholar +1 more source