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Relevant bibliographies by topics / Interest rate derivative

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Academic literature on the topic 'Interest rate derivative'

Author: Grafiati

Published: 4 June 2021

Last updated: 7 February 2022

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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.

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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.

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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.

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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.

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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.

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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.

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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 serv

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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.

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

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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.

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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 an

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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.

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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.

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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 econom

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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.

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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 int

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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.

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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.

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

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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

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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.

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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

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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.

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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.

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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

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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.

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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.

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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.

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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 spe

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

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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 in

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Books on the topic "Interest rate derivative"

1

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

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

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3

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

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

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

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

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7

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

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8

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

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9

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

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10

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

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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.

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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.

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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.

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4

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

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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.

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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.

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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.

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8

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

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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.

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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.

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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.

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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 sa

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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.

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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.

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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.

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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.

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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

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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.

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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.

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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.

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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

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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.

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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.

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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 ho

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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.

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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.

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