Results 61 to 70 of about 39,238 (166)
An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices [PDF]
We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well.
Andrew Kaplin +2 more
core
A Martingale Result for Convexity Adjustment in the Black Pricing Model [PDF]
This paper explains how to calculate convexity adjustment for interest rates derivatives when assuming a deterministic time dependent volatility, using martingale theory. The motivation of this paper lies in two directions.
Eric Benhamou
core
Borsa Istanbul Review, 2019 In this study, we explore the volatility structure of BIST 100 index returns through Markov Regime Switching VAR model in the domain of credit risk indicators of Turkey. Also, July 2016 coup attempt has been added to the model, to examine its impact on the volatility.
openaire +3 more sources
A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model. [PDF]
Comput Econ, 2023 Yoon Y, Kim JH.
europepmc +1 more source
Stress relief? Funding structures and resilience to the covid shock. [PDF]
J Monet Econ, 2023 Forbes K, Friedrich C, Reinhardt D.
europepmc +1 more source
Discounted-likelihood valuation of variance and volatility swaps
Financial InnovationAbstractThe valuation of financial derivatives often assumes risk neutrality with respect to the risk-neutral martingale measure, which prevents arbitrage opportunities. However, casual traders may still incur substantial losses when trading at this risk-neutral price, especially when the price has to be paid now and the payoff is only realized in the ...
Napat Rujeerapaiboon +2 more
openaire +2 more sources
Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model [PDF]
In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread.
Carl Chiarella +2 more
core
Deep treasury management for banks. [PDF]
Front Artif Intell, 2023 Englisch H +3 more
europepmc +1 more source
Do Options Contain Information About Excess Bond Returns? [PDF]
There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the impact of time-varying volatility on excess ...
Caio Almeida +2 more
core
Financial and economic uncertainties and their effects on the economy. [PDF]
Empirica (Dordr), 2023 Fortin I, Hlouskova J, Sögner L.
europepmc +1 more source