Log in

Relevant bibliographies by topics / Interest rate derivative

Contents

Journal articles
Dissertations / Theses
Books
Book chapters
Conference papers
Reports

Academic literature on the topic 'Interest rate derivative'

Author: Grafiati

Published: 4 June 2021

Last updated: 7 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Interest rate derivative.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Interest rate derivative"

1

Hosokawa, Satoshi, and Koichi Matsumoto. "Pricing interest rate derivatives with model risk." Journal of Financial Engineering 02, no. 01 (2015): 1550003. http://dx.doi.org/10.1142/s2345768615500038.

Full text

Abstract:

This paper studies an interest rate derivative when there is the model risk in an interest rate model. We consider a mean reverting interest rate process whose volatility model is not known. Most of prices of interest rate derivatives cannot be determined uniquely, based on this interest rate model. We study the price bounds of a derivative and propose how to calculate the price bounds by a trinomial model. Further, we analyze the model risk of derivatives and their portfolios numerically.

APA, Harvard, Vancouver, ISO, and other styles

2

Hull, John, and Alan White. "Pricing Interest-Rate-Derivative Securities." Review of Financial Studies 3, no. 4 (1990): 573–92. http://dx.doi.org/10.1093/rfs/3.4.573.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Ivanović, Zoran, and Elvis Mujačević. "FINANCIAL DERIVATIVES - INTEREST RATE SWAP." Tourism and hospitality management 10, no. 3-4 (2004): 161–68. http://dx.doi.org/10.20867/thm.10.3-4.12.

Full text

Abstract:

Swap as a portfolio of forward contract is a financial derivative traded on the over-the-counter market. In its basic form, swap is based on the exchange of future cash flows between two market participants in accordance with the agreed terms. The cash flows that are exchanged are the interest payments and in some circumstances even the notional amount, and transactions are carried out in a period of two to thirty years. Swaps first appeared in 80's, and have evolved from back-to-back loans.

APA, Harvard, Vancouver, ISO, and other styles

4

Zhao, Fang, and James Moser. "Bank Lending and Interest- Rate Derivatives." International Journal of Financial Research 8, no. 4 (2017): 23. http://dx.doi.org/10.5430/ijfr.v8n4p23.

Full text

Abstract:

Using data that cover a full business cycle, this paper documents a direct relationship between interest-rate derivative usage by U.S. banks and growth in their commercial and industrial (C&I) loan portfolios. This positive association holds for interest-rate options contracts, forward contracts, and futures contracts. This result is consistent with the implication of Diamond’s model (1984) that predicts that a bank’s use of derivatives permits better management of systematic risk exposure, thereby lowering the cost of delegated monitoring, and generates net benefits of intermediation services. The paper’s sample consists of all FDIC-insured commercial banks between 1996 and 2004 having total assets greater than $300 million and having a portfolio of C&I loans. The main results remain after a robustness check.

APA, Harvard, Vancouver, ISO, and other styles

5

Hull, John, and Alan White. "One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities." Journal of Financial and Quantitative Analysis 28, no. 2 (1993): 235. http://dx.doi.org/10.2307/2331288.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Ait-Sahalia, Yacine. "Nonparametric Pricing of Interest Rate Derivative Securities." Econometrica 64, no. 3 (1996): 527. http://dx.doi.org/10.2307/2171860.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Farman, Muhammad, Ali Akgül, Dumitru Baleanu, Sumaiyah Imtiaz, and Aqeel Ahmad. "Analysis of Fractional Order Chaotic Financial Model with Minimum Interest Rate Impact." Fractal and Fractional 4, no. 3 (2020): 43. http://dx.doi.org/10.3390/fractalfract4030043.

Full text

Abstract:

The main objective of this paper is to construct and test fractional order derivatives for the management and simulation of a fractional order disorderly finance system. In the developed system, we add the critical minimum interest rate d parameter in order to develop a new stable financial model. The new emerging paradigm increases the demand for innovation, which is the gateway to the knowledge economy. The derivatives are characterized in the Caputo fractional order derivative and Atangana-Baleanu derivative. We prove the existence and uniqueness of the solutions with fixed point theorem and an iterative scheme. The interest rate begins to rise according to initial conditions as investment demand and price exponent begin to fall, which shows the financial system’s actual macroeconomic behavior. Specifically component of its application to the large scale and smaller scale forms, just as the utilization of specific strategies and instruments such fractal stochastic procedures and expectation.

APA, Harvard, Vancouver, ISO, and other styles

8

Liu, Yuxuan. "The Pricing of New Interest Rate Derivative Futures." Science Innovation 8, no. 4 (2020): 114. http://dx.doi.org/10.11648/j.si.20200804.16.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Ahmed, Anwer S., Emre Kilic, and Gerald J. Lobo. "Effects of SFAS 133 on the Risk Relevance of Accounting Measures of Banks’ Derivative Exposures." Accounting Review 86, no. 3 (2011): 769–804. http://dx.doi.org/10.2308/accr.00000033.

Full text

Abstract:

ABSTRACT: We provide evidence on the effects of SFAS 133 on the risk relevance of accounting measures of bank derivative exposures to bond markets. First, we find that interest rate derivatives classified as hedging are more negatively associated with fixed-rate bond spreads after SFAS 133. We also find that hedging derivatives offset non-trading positions to a greater extent after SFAS 133. Second, for the largest 25 banks, we find that interest and foreign exchange rate trading derivatives are more negatively associated with fixed-rate bond spreads after SFAS 133, consistent with more economic hedges being classified as trading after SFAS 133. For these banks, trading derivative exposures offset non-derivative trading exposures to a greater extent after SFAS 133. Our results suggest that, contrary to critics’ claims, SFAS 133 has increased the risk relevance of accounting measures of derivative exposures to bond investors and benefited banks in terms of reducing their cost of capital.

APA, Harvard, Vancouver, ISO, and other styles

10

Gubareva, Mariya, and Maria Rosa Borges. "Interest rate, liquidity, and sovereign risk: derivative-based VaR." Journal of Risk Finance 18, no. 4 (2017): 443–65. http://dx.doi.org/10.1108/jrf-01-2017-0018.

Full text

Abstract:

Purpose The purpose of this paper is to study connections between interest rate risk and credit risk and investigate the inter-risk diversification benefit due to the joint consideration of these risks in the banking book containing sovereign debt. Design/methodology/approach The paper develops the historical derivative-based value at risk (VaR) for assessing the downside risk of a sovereign debt portfolio through the integrated treatment of interest rate and credit risks. The credit default swaps spreads and the fixed-leg rates of interest rate swap are used as proxies for credit risk and interest rate risk, respectively. Findings The proposed methodology is applied to the decade-long history of emerging markets sovereign debt. The empirical analysis demonstrates that the diversified VaR benefits from imperfect correlation between the risk factors. Sovereign risks of non-core emu states and oil producing countries are discussed through the prism of VaR metrics. Practical implications The proposed approach offers a clue for improving risk management in regards to banking books containing government bonds. It could be applied to access the riskiness of investment portfolios containing the wider spectrum of assets beyond the sovereign debt. The approach represents a useful tool for investigating interest rate and credit risk interrelation. Originality/value The proposed enhancement of the traditional historical VaR is twofold: usage of derivative instruments’ quotes and simultaneous consideration of the interest rate and credit risk factors to construct the hypothetical liquidity-free bond yield, which allows to distil liquidity premium.

APA, Harvard, Vancouver, ISO, and other styles

More sources

Dissertations / Theses on the topic "Interest rate derivative"

1

Kang, Zhuang. "Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Kirriakopoulos, Konstantinos. "Optimal portfolios with constrained sensitivities in the interest rate market." Thesis, Imperial College London, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.362717.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Pang, Kin. "Calibration of interest rate term structure and derivative pricing models." Thesis, University of Warwick, 1997. http://wrap.warwick.ac.uk/36270/.

Full text

Abstract:

We argue interest rate derivative pricing models are misspecified so that when they are fitted to historical data they do not produce prices consistently with the market. Interest rate models have to be calibrated to prices to ensure consistency. There are few published works on calibration to derivatives prices and we make this the focus of our thesis. We show how short rate models can be calibrated to derivatives prices accurately with a second time dependent parameter. We analyse the misspecification of the fitted models and their implications for other models. We examine the Duffle and Kan Affine Yield Model, a class of short rate models, that appears to allow easier calibration. We show that, in fact, a direct calibration of Duffle and Kan Affine Yield Models is exceedingly difficult. We show the non-negative subclass is equivalent to generalised Cox, Ingersoll and Ross models that facilitate an indirect calibration of nonnegative Duffle and Kan Affine Yield Models. We examine calibration of Heath, Jarrow and Morton models. We show, using some experiments, Heath, Jarrow and Morton models cannot be calibrated quickly to be of practical use unless we restrict to special subclasses. We introduce the Martingale Variance Technique for improving the accuracy of Monte Carlo simulations. We examine calibration of Gaussian Heath Jarrow and Morton models. We provide a new non-parametric calibration using the Gaussian Random Field Model of Kennedy as an intermediate step. We derive new approximate swaption pricing formulae for the calibration. We examine how to price resettable caps and floors with the market- Libor model. We derive a new relationship between resettable caplets and floorlets prices. We provide accurate approximations for the prices. We provide practical approximations to price resettable caplets and floorlets directly from quotes on standard caps and floors. We examine how to calibrate the market-Libor model.

APA, Harvard, Vancouver, ISO, and other styles

4

Van, Wijck Tjaart. "Interest rate model theory with reference to the South African market." Thesis, Stellenbosch : University of Stellenbosch, 2006. http://hdl.handle.net/10019.1/3396.

Full text

Abstract:

Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006.<br>An overview of modern and historical interest rate model theory is given with the specific aim of derivative pricing. A variety of stochastic interest rate models are discussed within a South African market context. The various models are compared with respect to characteristics such as mean reversion, positivity of interest rates, the volatility structures they can represent, the yield curve shapes they can represent and weather analytical bond and derivative prices can be found. The distribution of the interest rates implied by some of these models is also found under various measures. The calibration of these models also receives attention with respect to instruments available in the South African market. Problems associated with the calibration of the modern models are also discussed.

APA, Harvard, Vancouver, ISO, and other styles

5

Wu, Andrew Man Kit. "Efficient lattice methods for pricing interest rate options and other derivative securities under stochastic volatility." Thesis, University of Strathclyde, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.248776.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Mutengwa, Tafadzwa Isaac. "An analysis of the Libor and Swap market models for pricing interest-rate derivatives." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1005535.

Full text

Abstract:

This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular caplets and swaptions using the LIBOR market model (LMM) developed by Brace, Gatarek, and Musiela (1997) and Swap market model (SMM) developed Jamshidan (1997), respectively. Today, in most financial markets, interest rate derivatives are priced using the renowned Black-Scholes formula developed by Black and Scholes (1973). We present new pricing models for caplets and swaptions, which can be implemented in the financial market other than the Black-Scholes model. We theoretically construct these "new market models" and then test their practical aspects. We show that the dynamics of the LMM imply a pricing formula for caplets that has the same structure as the Black-Scholes pricing formula for a caplet that is used by market practitioners. For the SMM we also theoretically construct an arbitrage-free interest rate model that implies a pricing formula for swaptions that has the same structure as the Black-Scholes pricing formula for swaptions. We empirically compare the pricing performance of the LMM against the Black-Scholes for pricing caplets using Monte Carlo methods.

APA, Harvard, Vancouver, ISO, and other styles

7

Götsch, Irina. "Libor market model theory and implementation." Saarbrücken VDM, Müller, 2006. http://deposit.d-nb.de/cgi-bin/dokserv?id=2868878&prov=M&dok_var=1&dok_ext=htm.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Chu, Chi Chiu. "Pricing models of equity-linked insurance products and LIBOR exotic derivatives /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?MATH%202005%20CHU.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Klípová, Iva. "Nástroje sloužící k zajištění kurzového a úrokového rizika." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-81376.

Full text

Abstract:

The goal of thesis is to clarify the nature of the exchange rate and interest rate risk and the possibility to describe the management of these risks. It represents the individual tools used to ensure the exchange rate and interest rate risk and the specific examples explaining the principle of their functioning. The thesis is divided into three parts - the exchange rate hedging, interest rate hedging and risk management, or a summary of each procedure, a brief guide for managers of companies involved in the risk of fluctuations in exchange rates or interest rates touching. Case studies of specific examples shows the possibilities of treatment of exchange rate risk - the exporter trading currency pair EUR / CZK.

APA, Harvard, Vancouver, ISO, and other styles

10

Alfeus, Mesias. "Heath–Jarrow–Morton models with jumps." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96783.

Full text

Abstract:

Thesis (MSc)--Stellenbosch University, 2015.<br>ENGLISH ABSTRACT : The standard-Heath–Jarrow–Morton (HJM) framework is well-known for its application to pricing and hedging interest rate derivatives. This study implemented the extended HJM framework introduced by Eberlein and Raible (1999), in which a Brownian motion (BM) is replaced by a wide class of processes with jumps. In particular, the HJM driven by the generalised hyperbolic processes was studied. This approach was motivated by empirical evidence proving that models driven by a Brownian motion have several shortcomings, such as inability to incorporate jumps and leptokurticity into the price dynamics. Non-homogeneous Lévy processes and the change of measure techniques necessary for simplification and derivation of pricing formulae were also investigated. For robustness in numerical valuation, several transform methods were investigated and compared in terms of speed and accuracy. The models were calibrated to liquid South African data (ATM) interest rate caps using two methods of optimisation, namely the simulated annealing and secant-Levenberg–Marquardt methods. Two numerical valuation approaches had been implemented in this study, the COS method and the fractional fast Fourier transform (FrFT), and were compared to the existing methods in the context. Our numerical results showed that these two methods are quite efficient and very competitive. We have chose the COS method for calibration due to its rapidly speed and we have suggested a suitable approach for truncating the integration range to address the problems it has with short-maturity options. Our calibration results provided a nearly perfect fit, such that it was difficult to decide which model has a better fit to the current market state. Finally, all the implementations were done in MATLAB and the codes included in appendices.<br>AFRIKAANSE OPSOMMING : Die standaard-Heath–Jarrow–Morton-raamwerk (kortom die HJM-raamwerk) is daarvoor bekend dat dit op die prysbepaling en verskansing van afgeleide finansiële instrumente vir rentekoerse toegepas kan word. Hierdie studie het die uitgebreide HJM-raamwerk geïmplementeer wat deur Eberlein en Raible (1999) bekendgestel is en waarin ’n Brown-beweging deur ’n breë klas prosesse met spronge vervang word. In die besonder is die HJM wat deur veralgemeende hiperboliese prosesse gedryf word ondersoek. Hierdie benadering is gemotiveer deur empiriese bewyse dat modelle wat deur ’n Brown-beweging gedryf word verskeie tekortkominge het, soos die onvermoë om spronge en leptokurtose in prysdinamika te inkorporeer. Nie-homogene Lévy-prosesse en die maatveranderingstegnieke wat vir die vereenvoudiging en afleiding van prysbepalingsformules nodig is, is ook ondersoek. Vir robuustheid in numeriese waardasie is verskeie transformmetodes ondersoek en ten opsigte van spoed en akkuraatheid vergelyk. Die modelle is vir likiede Suid-Afrikaanse data vir boperke van rentekoerse sonder intrinsieke waarde gekalibreer deur twee optimiseringsmetodes te gebruik, naamlik die gesimuleerde uitgloeimetode en die sekans-Levenberg–Marquardt-metode. Twee benaderings tot numeriese waardasie is in hierdie studie gebruik, naamlik die kosinusmetode en die fraksionele vinnige Fourier-transform, en met bestaande metodes in die konteks vergelyk. Die numeriese resultate het getoon dat hierdie twee metodes redelik doeltreffend en uiters mededingend is. Ons het op grond van die motiveringspoed van die kosinus-metode daardie metode vir kalibrering gekies en ’n geskikte benadering tot die trunkering van die integrasiereeks voorgestel ten einde die probleem ten opsigte van opsies met kort uitkeringstermyne op te los. Die kalibreringsresultate het ’n byna perfekte passing gelewer, sodat dit moeilik was om te besluit watter model die huidige marksituasie die beste pas. Ten slotte is alle implementerings in MATLAB gedoen en die kodes in bylaes ingesluit.

APA, Harvard, Vancouver, ISO, and other styles

More sources

Books on the topic "Interest rate derivative"

1

The valuation of interest rate derivative securities. Routledge, 1996.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

2

Aït-Sahalia, Yacine. Nonparametric pricing of interest rate derivative securities. National Bureau of Economic Research, 1995.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

3

Interest rate swaps and other derivatives. Columbia University Press, 2012.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

4

Interest rate models: An introduction. Princeton University Press, 2004.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

5

Cairns, Andrew. Interest rate models: An introduction. Princeton University Press, 2003.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

6

Interest rate dynamics, derivatives pricing, and risk management. Springer, 1996.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

7

Sadr, Amir. Interest Rate Swaps and Their Derivatives. John Wiley & Sons, Ltd., 2009.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

8

Valuation and risk management of interest rate derivative securities. Verlag Paul Haupt, 1992.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

9

Britten-Jones, Mark. Fixed income and interest rate derivative analysis: Mark Britten-Jones. Butterworth-Heinemann, 1998.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

10

Erni, Marcel. Derivative Swiss franc interest rate instruments: Pricing, market structure, market potential. P. Haupt, 1992.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

More sources

Book chapters on the topic "Interest rate derivative"

1

Norman, Andrew. "Interest Rate Products." In OTC Markets in Derivative Instruments. Palgrave Macmillan UK, 1993. http://dx.doi.org/10.1007/978-1-349-13053-5_3.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Zhu, You-lan, Xiaonan Wu, and I.-Liang Chern. "Interest Rate Derivative Securities." In Springer Finance. Springer New York, 2004. http://dx.doi.org/10.1007/978-1-4757-3938-1_4.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Zhu, You-lan, Xiaonan Wu, I.-Liang Chern, and Zhi-zhong Sun. "Interest Rate Derivative Securities." In Springer Finance. Springer New York, 2013. http://dx.doi.org/10.1007/978-1-4614-7306-0_5.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Dempsey, Michael. "Interest rate futures (forwards)." In Financial Risk Management and Derivative Instruments. Routledge, 2021. http://dx.doi.org/10.4324/9781003132240-9.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Franke, Jürgen, Wolfgang Karl Härdle, and Christian Matthias Hafner. "Interest Rates and Interest Rate Derivatives." In Universitext. Springer Berlin Heidelberg, 2014. http://dx.doi.org/10.1007/978-3-642-54539-9_10.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Franke, Jürgen, Wolfgang Karl Härdle, and Christian Matthias Hafner. "Interest Rates and Interest Rate Derivatives." In Statistics of Financial Markets. Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-16521-4_10.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Franke, Jürgen, Wolfgang Karl Härdle, and Christian Matthias Hafner. "Interest Rates and Interest Rate Derivatives." In Universitext. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-13751-9_10.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Lang, Ian. "Interest Rate Derivatives." In Financial Derivatives. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266403.ch10.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Zagst, Rudi. "Interest-Rate Derivatives." In Interest-Rate Management. Springer Berlin Heidelberg, 2002. http://dx.doi.org/10.1007/978-3-662-12106-1_5.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Witzany, Jiří. "Interest Rate Derivatives." In Springer Texts in Business and Economics. Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-51751-9_3.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Interest rate derivative"

1

D’Auria, Francesco, and Alessandro Petruzzi. "Uncertainties in Predictions by Complex System Codes." In ASME 2011 Pressure Vessels and Piping Conference. ASMEDC, 2011. http://dx.doi.org/10.1115/pvp2011-57353.

Full text

Abstract:

Uncertainty analysis aims at characterizing the errors associated with experiments and predictions of computer codes, in contradistinction with sensitivity analysis, which aims at determining the rate of change (i.e., derivative) in the predictions of codes when one or more (typically uncertain) input parameters varies within its range of interest. In the present paper the salient features of established approaches for estimating uncertainties associated with predictions of complex system codes are reviewed together with the reasons why uncertainty evaluation is mandatory in nuclear reactor safety and licensing.

APA, Harvard, Vancouver, ISO, and other styles

2

Duy Minh Dang. "Pricing of cross-currency interest rate derivatives on Graphics Processing Units." In Distributed Processing, Workshops and Phd Forum (IPDPSW 2010). IEEE, 2010. http://dx.doi.org/10.1109/ipdpsw.2010.5470708.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Zhang, Hongmei. "Study on Application of Financial Derivatives in Interest Rate Risk Management." In 2016 2nd International Conference on Education Technology, Management and Humanities Science. Atlantis Press, 2016. http://dx.doi.org/10.2991/etmhs-16.2016.44.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Baczynski, Jack, Juan B. R. Otazu, and Jose V. M. Vicente. "A new method for pricing interest-rate derivatives in fixed income markets." In 2017 IEEE 56th Annual Conference on Decision and Control (CDC). IEEE, 2017. http://dx.doi.org/10.1109/cdc.2017.8264105.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Coren, D. D., N. R. Atkins, J. R. Turner, et al. "An Advanced Multi-Configuration Stator Well Cooling Test Facility." In ASME Turbo Expo 2010: Power for Land, Sea, and Air. ASMEDC, 2010. http://dx.doi.org/10.1115/gt2010-23450.

Full text

Abstract:

Optimisation of cooling systems within gas turbine engines is of great interest to engine manufacturers seeking gains in performance, efficiency and component life. The effectiveness of coolant delivery is governed by complex flows within the stator wells and the interaction of main annulus and cooling air in the vicinity of the rim seals. This paper reports the development of a test facility which allows the interaction of cooling air and main gas paths to be measured at conditions representative of those found in modern gas turbine engines. The test facility features a two stage turbine with an overall pressure ratio of approximately 2.6:1. Hot air is supplied to the main annulus using a Rolls-Royce Dart compressor driven by an aero-derivative engine plant. Cooling air can be delivered to the stator wells at multiple locations and at a range of flow rates which cover bulk ingestion through to bulk egress. The facility has been designed with adaptable geometry to enable rapid changes of cooling air path configuration. The coolant delivery system allows swift and accurate changes to the flow settings such that thermal transients may be performed. Particular attention has been focused on obtaining high accuracy data, using a radio telemetry system, as well as thorough through-calibration practices. Temperature measurements can now be made on both rotating and stationary discs with a long term uncertainty in the region of 0.3 K. A gas concentration measurement system has also been developed to obtain direct measurement of re-ingestion and rim seal exchange flows. High resolution displacement sensors have been installed in order to measure hot running geometry. This paper documents the commissioning of a test facility which is unique in terms of rapid configuration changes, non-dimensional engine matching and the instrumentation density and resolution. Example data for each of the measurement systems is presented. This includes the effect of coolant flow rate on the metal temperatures within the upstream cavity of the turbine stator well, the axial displacement of the rotor assembly during a commissioning test, and the effect of coolant flow rate on mixing in the downstream cavity of the stator well.

APA, Harvard, Vancouver, ISO, and other styles

6

Ergunova, Olga. "BANKS AND DERIVATIVES: EXPLORING THE FINANCIAL CHARACTERISTICS OF BANKS THAT USE INTEREST RATE SWAPS." In 4th International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM2017. Stef92 Technology, 2017. http://dx.doi.org/10.5593/sgemsocial2017/13/s03.011.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Christara, Christina C., Duy Minh Dang, Kenneth R. Jackson, et al. "A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives with Target Redemption Features." In ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics 2010. AIP, 2010. http://dx.doi.org/10.1063/1.3498467.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Schmidt, Lasse, Torben O. Andersen, Per Johansen, and Henrik C. Pedersen. "A Robust Control Concept for Hydraulic Drives Based on Second Order Sliding Mode Disturbance Compensation." In ASME/BATH 2017 Symposium on Fluid Power and Motion Control. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/fpmc2017-4265.

Full text

Abstract:

The application of sliding mode algorithms for control of hydraulic drives has gained increasing interest in recent years due to algorithm simplicity, low number of parameters and possible excellent control performance. Both application of first- and higher order sliding mode control algorithms in hydraulic drive controls have been presented in various literature, demonstrating the possible successful application of these. However, a major drawback is the presence of e.g. valve dynamics which often necessitates the usage of continuous approximations of discontinuities in order to avoid control chattering, which on the other hand compromises the robustness properties. This may also be the case when discontinuities are only present in the control derivative. This fact suggests that sliding mode algorithms may be more appropriate for assisting the control, i.e. for state observation, disturbance observer based control etc., and several examples of such approaches have been presented in literature. The latter case appear especially interesting as a sliding mode actually takes place, but only the low-pass filtered sliding mode algorithm output is used in the actual control input. However, the successful implementation relies heavily on the low-pass filter design where the drive dynamics, sample rate etc. play a significant role. In this paper the utilization of the super twisting algorithm for disturbance compensation is considered. The fact that the discontinuity here is nested in an integral causes less restrictions on the used low-pass filter, enabling the possibility for a wide range of usage when the sampling frequency is in the range of industrial grade control hardware. The proposed control structure is designed and considered in relation to a valve driven hydraulic winch drive, and results demonstrate that excellent and high precision control may be achieved in the presence of large and highly varying external loads.

APA, Harvard, Vancouver, ISO, and other styles

9

Silva, Allan Jonathan da, Jack Baczynski, and José V. M. Vicente. "Modified implicit method embedded in a two-dimensional space for pricing brazilian interest rate derivatives." In XXXV CNMAC - Congresso Nacional de Matemática Aplicada e Computacional. SBMAC, 2015. http://dx.doi.org/10.5540/03.2015.003.01.0149.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Marzouk, Osama A., and Ali H. Nayfeh. "Mitigation of Ship Motion Using Passive and Active Anti-Roll Tanks." In ASME 2007 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. ASMEDC, 2007. http://dx.doi.org/10.1115/detc2007-35571.

Full text

Abstract:

Because excessive roll motions of ships in rough seas badly affect their performance, there is a continuous interest in efficient ways to mitigate these undesirable motions. There are different devices to mitigate the roll of ships with different levels of performance and operating limits. Anti-roll tanks are more effective than other roll stabilization devices when the ship is not underway or moves slowly. Here, we investigate the application of passive and active anti-roll tank systems. The tank system consists of three tanks: each one consists of two columns connected at the bottom via a horizontal pipe equipped with a pump. The tanks are arranged along the length of the ship, symmetrically located about its center of gravity. The motion of the liquid in the tank is 1-D, but it exerts loads on all degrees of freedom of the ship. The equation governing the tank-liquid motion is coupled with the equations governing the 6-DOF motion of the ship in waves; the coupled system is solved simultaneously in time. First, we derive expressions for the forces and moments exerted on the ship by the tanks. Then, we study the roll response at different sea heading angles in rough sea conditions in the absence of the tanks to identify the critical heading angles where the roll is large. We demonstrate the nonlinear behavior of roll through frequency-response curves for different beam wave amplitudes. These curves exhibit typical nonlinear phenomena (jumps and hysteresis) for high wave amplitudes. Spectral analysis shows a two-to-one frequency relationship between the roll and pitch in rough head and follower seas, which are the most critical sea headings. For passive and active tanks, we study the effect of the frequency of the tank system on its effectiveness. We consider active anti-roll tanks in which the pump power is controlled via a proportional-derivative (PD) control law using the roll angle and its rate. We compare the performances of passive and active tanks in rough sea for the critical heading angles. We found that active anti-roll tanks outperform passive ones in terms of roll reduction and size and weight, but they require power consumption. To achieve a specified roll reduction, the weight of a passive tank might be as large as five times that of an active tank. We also found that the performance of passive tanks depends strongly on their frequencies, in contrast with active tanks, which are insensitive to their frequencies.

APA, Harvard, Vancouver, ISO, and other styles

Reports on the topic "Interest rate derivative"

1

Ait-Sahalia, Yacine. Nonparametric Pricing of Interest Rate Derivative Securities. National Bureau of Economic Research, 1995. http://dx.doi.org/10.3386/w5345.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Trolle, Anders, and Eduardo Schwartz. A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives. National Bureau of Economic Research, 2006. http://dx.doi.org/10.3386/w12337.

Full text

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!