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Journal articles on the topic 'Forward rate'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 April 2022

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1

Goodman, Victor, and Kyounghee Kim. "Common Forward Rate Volatility." SIAM Journal on Financial Mathematics 1, no. 1 (2010): 212–29. http://dx.doi.org/10.1137/090750676.

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2

Jarrow, Robert A. "Forward Rate Curve Smoothing." Annual Review of Financial Economics 6, no. 1 (2014): 443–58. http://dx.doi.org/10.1146/annurev-financial-022114-112903.

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3

Pojarliev, Momtchil. "Trading the Forward Rate Puzzle." Journal of Alternative Investments 11, no. 3 (2008): 58–61. http://dx.doi.org/10.3905/jai.2009.11.3.026.

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4

CHEN, Lin, Hai-Bin SONG, Chong-Zhi DONG, Jiong ZHANG, and Chang-Yu ZHAO. "2D Strain Rate Forward Modeling." Chinese Journal of Geophysics 51, no. 6 (2008): 1194–202. http://dx.doi.org/10.1002/cjg2.1316.

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5

Norrbin, Stefan C., and Kevin L. Reffett. "Exogeneity and forward rate unbiasedness." Journal of International Money and Finance 15, no. 2 (1996): 267–74. http://dx.doi.org/10.1016/0261-5606(96)00005-8.

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6

Tang, D. P., S. R. Lee, and Benjaporn Thangkasemvathana. "The forward exchange rate premium." Economics Letters 44, no. 1-2 (1994): 169–74. http://dx.doi.org/10.1016/0165-1765(93)00318-i.

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7

Qi, H., and Y. A. Xie. "Cost of capital: spot rate or forward rate?" Applied Economics 48, no. 40 (2016): 3804–11. http://dx.doi.org/10.1080/00036846.2016.1145350.

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8

Bjork, Tomas, and Bent Jesper Christensen. "Interest Rate Dynamics and Consistent Forward Rate Curves." Mathematical Finance 9, no. 4 (1999): 323–48. http://dx.doi.org/10.1111/1467-9965.00072.

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9

Lin, Hwan C. "Forward-rate target zones and exchange rate dynamics." Journal of International Money and Finance 27, no. 5 (2008): 831–46. http://dx.doi.org/10.1016/j.jimonfin.2008.02.009.

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10

Ilmanen, Antti. "Market Rate Expectations and Forward Rates." Journal of Fixed Income 6, no. 2 (1996): 8–22. http://dx.doi.org/10.3905/jfi.1996.408177.

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11

Razzak, W. A. "The forward rate unbiasedness hypothesis revisited." International Journal of Finance & Economics 7, no. 4 (2002): 293–308. http://dx.doi.org/10.1002/ijfe.193.

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12

Ho, Tsung-Wu. "The Forward Rate Unbiasedness Hypothesis revisited." Applied Financial Economics 12, no. 11 (2002): 799–804. http://dx.doi.org/10.1080/09603100110046874.

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13

Barski, Michał, and Jerzy Zabczyk. "Forward rate models with linear volatilities." Finance and Stochastics 16, no. 3 (2011): 537–60. http://dx.doi.org/10.1007/s00780-011-0163-y.

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14

Riechert, Matthias S., and Christian Eck. "Zinssicherung per Termin — Forward Rate Agreements." Bankmagazin 47, no. 6 (1998): 56–57. http://dx.doi.org/10.1007/bf03228520.

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15

Chiang, Thomas C., and Thomas J. Hindelang. "Forward rate, spot rate and risk premium: An empirical analysis." Weltwirtschaftliches Archiv 124, no. 1 (1988): 74–88. http://dx.doi.org/10.1007/bf02708620.

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16

ANDRESEN, ARNE, FRED ESPEN BENTH, STEEN KOEKEBAKKER, and VALERIY ZAKAMULIN. "THE CARMA INTEREST RATE MODEL." International Journal of Theoretical and Applied Finance 17, no. 02 (2014): 1450008. http://dx.doi.org/10.1142/s0219024914500083.

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In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model

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17

Islas-Camargo, Alejandro, Willy Walter Cortez, and Tania Pamela Sanabria Flores. "Is Mexico's Forward Exchange Rate Market Efficient?" Revista Mexicana de Economía y Finanzas 13, no. 2 (2018): 273–89. http://dx.doi.org/10.21919/remef.v13i2.277.

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18

Rusinek, Anna. "Mean reversion for HJMM forward rate models." Advances in Applied Probability 42, no. 02 (2010): 371–91. http://dx.doi.org/10.1017/s0001867800004110.

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We examine the long-time behavior of forward rates in the framework of Heath-Jarrow-Morton-Musiela models with infinite-dimensional Lévy noise. We give an explicit condition under which the rates have a mean reversion property. In a special case we show that this condition is fulfilled for any Lévy process with variance smaller than a given constant, depending only on the state space and the volatility.

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19

Wright, Jonathan H. "Forward-Looking Estimates of Interest-Rate Distributions." Annual Review of Financial Economics 9, no. 1 (2017): 333–51. http://dx.doi.org/10.1146/annurev-financial-110716-032347.

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20

MATACZ, ANDREW, and JEAN-PHILIPPE BOUCHAUD. "EXPLAINING THE FORWARD INTEREST RATE TERM STRUCTURE." International Journal of Theoretical and Applied Finance 03, no. 03 (2000): 381–89. http://dx.doi.org/10.1142/s0219024900000243.

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We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk like pricing. We find a striking correlation between the instantaneous FRC and the past spot trend over a certain time horizon. This confirms the idea of an anticipated trend mechanism proposed earlier and provides a natural explanation for the observed shape of the FRC volatility. We find that the one-factor Gaussian Heath–Jarrow–Morton model calibrat

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21

Hai, Weike, Nelson C. Mark, and Yangru Wu. "Understanding spot and forward exchange rate regressions." Journal of Applied Econometrics 12, no. 6 (1997): 715–34. http://dx.doi.org/10.1002/(sici)1099-1255(199711/12)12:6<715::aid-jae470>3.0.co;2-c.

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22

Polishchuk, Alexander Ya. "Analytical evaluation of averaged forward rate payoffs." Wilmott Journal 1, no. 5-6 (2009): 255–57. http://dx.doi.org/10.1002/wilj.22.

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23

Rusinek, Anna. "Mean reversion for HJMM forward rate models." Advances in Applied Probability 42, no. 2 (2010): 371–91. http://dx.doi.org/10.1239/aap/1275055234.

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Abstract:

We examine the long-time behavior of forward rates in the framework of Heath-Jarrow-Morton-Musiela models with infinite-dimensional Lévy noise. We give an explicit condition under which the rates have a mean reversion property. In a special case we show that this condition is fulfilled for any Lévy process with variance smaller than a given constant, depending only on the state space and the volatility.

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24

Naka, Atsuyuki, and Gerald Whitney. "The unbiased forward rate hypothesis re-examined." Journal of International Money and Finance 14, no. 6 (1995): 857–67. http://dx.doi.org/10.1016/0261-5606(95)00033-x.

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25

Simozar, Saied. "Adjustment to Risk Free Rate/ Violation of Put-Call Parity." Applied Economics and Finance 6, no. 6 (2019): 80. http://dx.doi.org/10.11114/aef.v6i6.4521.

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The present value of a forward contract for any asset that does not pay a dividend is calculated by discounting its forward price by the risk-free rate. We show that the discount function for assets that have a non-zero correlation with interest rates, has to be adjusted to account for the correlation between the asset and interest rates. Put-Call parity is also violated and needs to be adjusted as well for such assets. It is shown that the risk-free rate is asset dependent. The adjustment to the price is small for short dated forwards, but increases quadratically with time to maturity.

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26

KIANI, KHURSHID M. "FORECASTING FORWARD EXCHANGE RATE RISK PREMIUM IN SINGAPORE DOLLAR/US DOLLAR EXCHANGE RATE MARKET." Singapore Economic Review 54, no. 02 (2009): 283–98. http://dx.doi.org/10.1142/s0217590809003288.

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In this research, monthly forward exchange rates are evaluated for possible existence of time varying risk premia in Singapore forward foreign exchange rates against US dollar. The time varying risk premia in Singapore dollar is modeled using non-Gaussian signal plus noise models that encompass non-normality and time varying volatility. The results from signal plus noise models show statistically significant evidence of time varying risk premium in Singapore forward exchange rates although we failed to reject the hypotheses of no risk premium in the series. The results from Gaussian versions o

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27

Shirakawa, Hiroshi. "Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes." Mathematical Finance 1, no. 4 (1991): 77–94. http://dx.doi.org/10.1111/j.1467-9965.1991.tb00020.x.

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28

Sakoulis, Georgios, Eric Zivot, and Kyongwook Choi. "Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis." Journal of Empirical Finance 17, no. 5 (2010): 957–66. http://dx.doi.org/10.1016/j.jempfin.2010.08.001.

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29

Misra, Satya Narayan. "Repo Rate, Inflation and Growth: The Way Forward." Indian Journal of Economics and Development 15, no. 2 (2019): 327. http://dx.doi.org/10.5958/2322-0430.2019.00042.8.

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30

Levine, Ross. "The Forward Exchange Rate Bias : A New Explanation." International Finance Discussion Paper 1988, no. 338 (1988): 1–68. http://dx.doi.org/10.17016/ifdp.1988.338.

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31

Chung, Sang-Kuck. "The Speed of Adjustment and Forward Rate Unbiasedness." INTERNATIONAL BUSINESS REVIEW 3, no. 1 (1999): 111. http://dx.doi.org/10.21739/ibr.1999.12.3.1.111.

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32

Platen, Eckhard, and Stefan Tappe. "Real-World Forward Rate Dynamics With Affine Realizations." Stochastic Analysis and Applications 33, no. 4 (2015): 573–608. http://dx.doi.org/10.1080/07362994.2015.1019629.

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33

Tappe, Stefan. "Compact Embeddings for Spaces of Forward Rate Curves." Abstract and Applied Analysis 2013 (2013): 1–6. http://dx.doi.org/10.1155/2013/709505.

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The goal of this paper is to prove a compact embedding result for spaces of forward rate curves. As a consequence of this result, we show that any forward rate evolution can be approximated by a sequence of finite dimensional processes in the larger state space.

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34

Zivot, Eric. "Cointegration and forward and spot exchange rate regressions." Journal of International Money and Finance 19, no. 6 (2000): 785–812. http://dx.doi.org/10.1016/s0261-5606(00)00031-0.

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35

Sarmiento, Camilo. "An Adjusted Forward Curve for Spot Rate Forecasting." Economics 9, no. 1 (2020): 1. http://dx.doi.org/10.11648/j.eco.20200901.11.

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36

Alai, Daniel H., Katja Ignatieva, and Michael Sherris. "The Investigation of a Forward-Rate Mortality Framework." Risks 7, no. 2 (2019): 61. http://dx.doi.org/10.3390/risks7020061.

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Stochastic mortality models have been developed for a range of applications from demographic projections to financial management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have the advantage of being applied to financial pricing and the management of longevity risk. Olivier and Jeffery (2004) and Smith (2005) proposed a model based on a forward-rate mortality framework with stochastic factors driven by univariate gamma random variables irrespective of age or duration. We assess and further develop this model. We generalize ran

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37

Smead, Richard G. "Negotiated/recourse rate alternative-A reasonable step forward." Natural Gas 12, no. 12 (2007): 22–24. http://dx.doi.org/10.1002/gas.3410121206.

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38

Jung, Chulho, K. Doroodian, and Robert Albarano. "The unbiased forward rate hypothesis: a re-examination." Applied Financial Economics 8, no. 6 (1998): 567–75. http://dx.doi.org/10.1080/096031098332600.

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39

Liu, Wei, and Alex Maynard. "Testing forward rate unbiasedness allowing for persistent regressors." Journal of Empirical Finance 12, no. 5 (2005): 613–28. http://dx.doi.org/10.1016/j.jempfin.2004.05.003.

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40

Connolly, Robert, David Dubofsky, and Chris Stivers. "Macroeconomic uncertainty and the distant forward-rate slope." Journal of Empirical Finance 48 (September 2018): 140–61. http://dx.doi.org/10.1016/j.jempfin.2018.06.008.

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41

Hall, S. G. "A forward looking model of the exchange rate." Journal of Applied Econometrics 2, no. 1 (1987): 47–60. http://dx.doi.org/10.1002/jae.3950020104.

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42

La Chioma, Claudia, and Benedetto Piccoli. "HEATH?JARROW?MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES." Mathematical Finance 17, no. 3 (2007): 427–47. http://dx.doi.org/10.1111/j.1467-9965.2007.00310.x.

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43

Akiba, Hiroya. "The Forward Exchange Rate and the Interest Rate within a Production Economy." Journal of Economic Integration 12, no. 2 (1997): 227–41. http://dx.doi.org/10.11130/jei.1997.12.2.227.

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44

Lin, Winston T. "Dynamic and Stochastic Instability and the Unbiased Forward Rate Hypothesis: A Variable Mean Response Approach." Multinational Finance Journal 3, no. 3 (1999): 173–221. http://dx.doi.org/10.17578/3-3-2.

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45

Bühler, Wolfgang, Marliese Uhrig-Homburg, Ulrich Walter, and Thomas Weber. "An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options." Journal of Finance 54, no. 1 (1999): 269–305. http://dx.doi.org/10.1111/0022-1082.00104.

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46

Adisetiawan, R., Pantun Bukit, and Ahmadi Ahmadi. "Future Spot Rate: The Implications in Indonesia." Jurnal Ilmiah Universitas Batanghari Jambi 20, no. 1 (2020): 155. http://dx.doi.org/10.33087/jiubj.v20i1.874.

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Investors, multinational companies and governments require a rate forecasting to make informed decisions about the hedging of debts and receivables, funding and short-term investments, capital budgeting and long-term financing. The process of making forecasting from market indicators, known as market-based forecasting, is usually developed based on spot rates and forward rates. The current spot rate can be used as forecasting, as the exchange rate reflects the market estimate of the spot rate in a short period of time. The forward rate is used in forecasting, as the exchange rate reflects the

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47

Ritchken, Peter, and L. Sankarasubramanian. "The Importance of Forward Rate Volatility Structures in Pricing Interest Rate-Sensitive Claims." Journal of Derivatives 3, no. 1 (1995): 25–41. http://dx.doi.org/10.3905/jod.1995.407935.

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48

Hull, John C., and Alan D. White. "Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model." Journal of Fixed Income 10, no. 2 (2000): 46–62. http://dx.doi.org/10.3905/jfi.2000.319268.

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49

Galvao, Ana Beatriz, and Sonia Costa. "Does the euro area forward rate provide accurate forecasts of the short rate?" International Journal of Forecasting 29, no. 1 (2013): 131–41. http://dx.doi.org/10.1016/j.ijforecast.2012.07.003.

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50

Bozovic, Milos, and Milos Talijan. "The anomalous forward premium of EUR/RSD exchange rate." Industrija 43, no. 4 (2015): 89–103. http://dx.doi.org/10.5937/industrija43-9109.

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