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Journal articles on the topic 'Interest rate derivatives'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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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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2

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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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.

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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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4

Block, Stanley B., Timothy J. Gallagher, and Mark S. Rzepcynski. "Use of Interest Rate Derivatives." Financial Management 19, no. 3 (1990): 7. http://dx.doi.org/10.2307/3665815.

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5

Cerovic, Slobodan, and Marina Pepic. "Interest rate derivatives in developing countries in Europe." Perspectives of Innovations, Economics and Business 9, no. 3 (2011): 38–42. https://doi.org/10.15208/pieb.2011.38.

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Financial derivatives (interest rate futures, options and swaps) are a very simple way to minimize interest rate risk and therefore are extremely popular. The value of interest rate derivatives transactions in the world is increasing dramatically. Unfortunately, this is not the case with developing countries in Europe. Although significantly increased in the last decade, interest rate derivatives markets in developing countries are still in nascent stage.   In most developing countries still the main problem for the interest rate derivatives development is the lack of basic conditions, in

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6

Kaisajuntti, Linus, and Joanne Kennedy. "Stochastic volatility for interest rate derivatives." Quantitative Finance 14, no. 3 (2013): 457–80. http://dx.doi.org/10.1080/14697688.2012.757848.

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7

Di Matteo, T., M. Airoldi, and E. Scalas. "On pricing of interest rate derivatives." Physica A: Statistical Mechanics and its Applications 339, no. 1-2 (2004): 189–96. http://dx.doi.org/10.1016/j.physa.2004.03.042.

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8

Brewer III, Elijah, Bernadette A. Minton, and James T. Moser. "Interest-rate derivatives and bank lending." Journal of Banking & Finance 24, no. 3 (2000): 353–79. http://dx.doi.org/10.1016/s0378-4266(99)00041-2.

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9

DE GENARO, ALAN, and MARCO AVELLANEDA. "PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES." International Journal of Theoretical and Applied Finance 21, no. 06 (2018): 1850037. http://dx.doi.org/10.1142/s0219024918500371.

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The goal of this paper is to develop a reduced-form model for pricing derivatives on the overnight rate. The model incorporates jumps around central bank (CB) meetings. More specifically, rate changes are decomposed into fluctuations between CB meetings and deterministic timed jumps following CB meetings. This approach is useful for practitioners, since it allows the extraction of expectations regarding central bank decisions embedded in liquid instruments, as well as the use of these expectations for the pricing of less liquid derivatives, such as options, in a consistent manner. We discuss a

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10

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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11

Tahani, Nabil, and Xiaofei Li. "Pricing interest rate derivatives under stochastic volatility." Managerial Finance 37, no. 1 (2011): 72–91. http://dx.doi.org/10.1108/03074351111092157.

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PurposeThe purpose of this paper is to derive semi‐closed‐form solutions to a wide variety of interest rate derivatives prices under stochastic volatility in affine‐term structure models.Design/methodology/approachThe paper first derives the Frobenius series solution to the cross‐moment generating function, and then inverts the related characteristic function using the Gauss‐Laguerre quadrature rule for the corresponding cumulative probabilities.FindingsThis paper values options on discount bonds, coupon bond options, swaptions, interest rate caps, floors, and collars, etc. The valuation appro

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12

Witzany, Jiří. "Valuation of Convexity Related Interest Rate Derivatives." Prague Economic Papers 18, no. 4 (2009): 309–26. http://dx.doi.org/10.18267/j.pep.356.

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13

Privault, Nicolas, and Timothy Robin Teng. "Risk-neutral hedging of interest rate derivatives." Risk and Decision Analysis 3, no. 3 (2012): 201–9. http://dx.doi.org/10.3233/rda-2011-0061.

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14

Pierides, Yiannos A. "Legal Disputes About Complex Interest Rate Derivatives." Journal of Portfolio Management 22, no. 4 (1996): 114–18. http://dx.doi.org/10.3905/jpm.1996.409563.

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15

Chacko, George, and Sanjiv Das. "Pricing Interest Rate Derivatives: A General Approach." Review of Financial Studies 15, no. 1 (2002): 195–241. http://dx.doi.org/10.1093/rfs/15.1.195.

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16

Cotton, Peter, Jean-Pierre Fouque, George Papanicolaou, and Ronnie Sircar. "Stochastic Volatility Corrections for Interest Rate Derivatives." Mathematical Finance 14, no. 2 (2004): 173–200. http://dx.doi.org/10.1111/j.0960-1627.2004.00188.x.

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17

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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18

Treepongkaruna, Sirimon, and Stephen Gray. "Short-term interest rate models: valuing interest rate derivatives using a Monte-Carlo approach." Accounting and Finance 43, no. 2 (2003): 231–59. http://dx.doi.org/10.1111/1467-629x.00090.

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19

Schrand, Catherine M. "Discussion: “Who Uses Interest Rate Swaps? a Cross-Sectional Analysis”." Journal of Accounting, Auditing & Finance 13, no. 3 (1998): 201–5. http://dx.doi.org/10.1177/0148558x9801300302.

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In recent years, there have been numerous empirical studies of derivatives use because of new data availability that resulted from requirements for annual report disclosures about derivatives activities of nonfinancial firms ( Financial Accounting Standards Board Statements Nos. 105 and 119). Many of these studies test predictions from models of optimal hedging. These models suggest that the use of derivatives to reduce volatility in cash flows is optimal, even though it is costly, when the firm faces even greater exogenous or endogenous costs associated with cash flow volatility. Each of the

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20

Bueno-Guerrero, Alberto. "A Quantum Mechanics for interest rate derivatives markets." Chaos, Solitons & Fractals 155 (February 2022): 111726. http://dx.doi.org/10.1016/j.chaos.2021.111726.

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21

Kiriakopoulos, Konstantinos, George Kaimakamis, and Charalambos Botsaris. "Optimal interest rate derivatives portfolio with controlled sensitivities." International Journal of Decision Sciences, Risk and Management 2, no. 1/2 (2010): 112. http://dx.doi.org/10.1504/ijdsrm.2010.034675.

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22

Rainer, Martin. "Calibration of stochastic models for interest rate derivatives." Optimization 58, no. 3 (2009): 373–88. http://dx.doi.org/10.1080/02331930902741796.

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23

Fabozzi, Frank J., Raymond M. Morel, and Brian D. Grow. "Use of Interest Rate Derivatives in Securitization Transactions." Journal of Structured Finance 11, no. 2 (2005): 22–27. http://dx.doi.org/10.3905/jsf.2005.570542.

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24

Meyer, Ralf. "Profitability patterns in the interest rate derivatives market." Review of Derivatives Research 20, no. 3 (2017): 231–54. http://dx.doi.org/10.1007/s11147-017-9129-3.

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25

Hoffmann, Peter, Sam Langfield, Federico Pierobon, and Guillaume Vuillemey. "Who Bears Interest Rate Risk?" Review of Financial Studies 32, no. 8 (2018): 2921–54. http://dx.doi.org/10.1093/rfs/hhy113.

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Abstract We study the allocation of interest rate risk within the European banking sector using novel data. Banks’ exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. Contrary to conventional wisdom, net worth is increasing in interest rates for approximately half of the institutions in our sample. Cross-sectional variation in banks’ exposures is driven by cross-country differences in loan-rate fixation conventions for mortgages. Banks use derivatives to partially hedge on-balance-sheet exposures. Residual exposures imply that changes in interest rates

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26

Rhee, Joon Hee. "Derivatives Pricing in the Positive Interest Rates." Journal of Derivatives and Quantitative Studies 12, no. 2 (2004): 157–79. http://dx.doi.org/10.1108/jdqs-02-2004-b0007.

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This paper examines the pricing of interest rates derivatives such as caps and swaptions in the pricing kernel framework. The underlying state variable is extended to the general infinitely divisible Levy process. For computational purposes, a simple pricing kernel as in Flesaker and Hughston (1996) and Jin and Glasserman (2001) is used. The main contribution or purpose of this paper is to find several proper positive martingales, which is key role of practical applications of the pricing kernel approach with interest rates guarantee to be positive. Particularly, this paper first finds and app

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27

Heidari, Massoud, and Liuren Wu. "A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives." Journal of Financial and Quantitative Analysis 44, no. 3 (2009): 517–50. http://dx.doi.org/10.1017/s0022109009990093.

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AbstractDynamic term structure models explain the yield curve variation well but perform poorly in pricing and hedging interest rate options. Most existing option pricing practices take the yield curve as given, thus having little to say about the fair valuation of the underlying interest rates. This paper proposes an m + n model structure that bridges the gap in the literature by successfully pricing both interest rates and interest rate options. The first m factors capture the yield curve variation, whereas the latter n factors capture the interest rate options movements that cannot be effec

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28

Heidari, Massoud, and Liuren Wu. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?" Journal of Fixed Income 13, no. 1 (2003): 75–86. http://dx.doi.org/10.3905/jfi.2003.319347.

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29

BAVIERA, ROBERTO. "BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL." International Journal of Theoretical and Applied Finance 22, no. 05 (2019): 1950027. http://dx.doi.org/10.1142/s0219024919500274.

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We propose an elementary model in multi-curve setting that allows to price with simple exact closed formulas European swaptions. Swaptions can be both physical delivery and cash-settled ones. The proposed model is very parsimonious: it is a three-parameter multi-curve extension of the two-parameter J. Hull & A. White (1990) [Pricing interest-rate-derivative securities. Review of Financial Studies 3(4), 573–592] model. The model allows also to obtain simple formulas for all other plain vanilla Interest Rate derivatives and convexity adjustments. Calibration issues are discussed in detail.

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30

Covitz, Daniel M., and Steven A. Sharpe. "Do Nonfinancial Firms Use Interest Rate Derivatives to Hedge?" Finance and Economics Discussion Series 2005, no. 39 (2005): 1–28. http://dx.doi.org/10.17016/feds.2005.39.

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31

LI, HAITAO, and FENG ZHAO. "Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives." Journal of Finance 61, no. 1 (2006): 341–78. http://dx.doi.org/10.1111/j.1540-6261.2006.00838.x.

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32

Howton, Shawn D., and Steven B. Perfect. "Currency and Interest-Rate Derivatives Use in US Firms." Financial Management 27, no. 4 (1998): 111. http://dx.doi.org/10.2307/3666417.

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33

Kim, Bomi, and Jeong-Hoon Kim. "Default risk in interest rate derivatives with stochastic volatility." Quantitative Finance 11, no. 12 (2011): 1837–45. http://dx.doi.org/10.1080/14697688.2010.543426.

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34

Jarrow, Robert A., and Stuart M. Turnbull. "Delta, gamma and bucket hedging of interest rate derivatives." Applied Mathematical Finance 1, no. 1 (1994): 21–48. http://dx.doi.org/10.1080/13504869400000002.

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35

Purnanandam, Amiyatosh. "Interest rate derivatives at commercial banks: An empirical investigation." Journal of Monetary Economics 54, no. 6 (2007): 1769–808. http://dx.doi.org/10.1016/j.jmoneco.2006.07.009.

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36

Borokhovich, Kenneth A., Kelly R. Brunarski, Claire E. Crutchley, and Betty J. Simkins. "Board Composition And Corporate Use Of Interest Rate Derivatives." Journal of Financial Research 27, no. 2 (2004): 199–216. http://dx.doi.org/10.1111/j.1475-6803.2004.t01-1-00079.x.

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37

Adedeji, Abimbola, and Richard Baker. "Why firms in the UK use interest rate derivatives." Managerial Finance 28, no. 11 (2002): 53–74. http://dx.doi.org/10.1108/03074350210768167.

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38

Chiu, Mei Choi, Zhuolu Xu, and Hoi Ying Wong. "FFT network for interest rate derivatives with Lévy processes." Japan Journal of Industrial and Applied Mathematics 34, no. 3 (2017): 675–710. http://dx.doi.org/10.1007/s13160-017-0259-7.

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39

Lv, Wujun, and Linlin Tian. "Pricing of Credit Risk Derivatives with Stochastic Interest Rate." Axioms 12, no. 8 (2023): 782. http://dx.doi.org/10.3390/axioms12080782.

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This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default states of counterparty firms and that the stochastic interest rate follows a jump-diffusion Cox–Ingersoll–Ross process. First, we derive the joint Laplace transform of the distribution of the vector process (rt,Rt) by applying piecewise deterministic Markov process theory and martingale theory. Then, using the joint Laplace transform, we obtain t

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40

Syafwil, Odry, and Fitri Bunga Adelia. "Simulasi Kebijakan untuk Peningkatan Harga Ekspor T urunan Crude Palm Oil Indonesia: Analisis Sistem Persamaan Simultan." JOURNAL EDUCATIONAL OF NURSING(JEN) 1, no. 1 (2018): 89–101. http://dx.doi.org/10.37430/jen.v1i1.67.

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Palm oil industries is one of the leading agroindustrial in Indonesia. Since the downstream palm oil industries began at the end of 2011, the export volume of Indonesian CPO derived increased continously. However, it’s export pric e decreased. Thus, the main objective of this research was to built a single policy simulation scenarios that could increase the export price of Indonesian CPO derivatives. This research used simultaneous analysis with T wo-Stage Least Square estimation method that consisted three endogenous variables, namely export price and export volume of Indonesian CPO derivativ

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41

Peterson, Sandra, Richard C. Stapleton, and Marti G. Subrahmanyam. "A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives." Journal of Financial and Quantitative Analysis 38, no. 4 (2003): 847. http://dx.doi.org/10.2307/4126746.

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42

Xu, Chenglong, Wei Guan, and Yijuan Liang. "A Comparison of Control Variate Methods for Pricing Interest Rate Derivatives in the LIBOR Market Model." Journal of Systems Science and Information 3, no. 1 (2015): 48–58. http://dx.doi.org/10.1515/jssi-2015-0048.

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AbstractThis paper studies the control variate method for pricing interest rate derivatives driven by the LIBOR market model. Several control variates are constructed based on distinctive approximations for the LIBOR market model. Numerical results show the great efficiency of our methods. The idea in this paper can also be extended to price other interest rate derivatives under the LIBOR market model, such asSwaptions, Caps, some path dependent interest rate derivatives, and so forth.

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43

Zhao, Wanlin. "Analysis of the Impact of Interest Rate Derivatives on the Market Risk of Commercial Banks in China." Advances in Economics, Management and Political Sciences 6, no. 1 (2023): 420–24. http://dx.doi.org/10.54254/2754-1169/6/2022181.

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With the development of China's financial derivatives market, China needs to pay more attention to the management of interest rate risk, and commercial banks should avoid interest rate risk typically through the role of derivatives. China's financial markets have been opened up to the rest of the world, and many international factors are influencing the changes in our financial markets. This paper focuses on the function of interest rate derivatives and their impact on commercial banks in China. This is an important step for commercial banks in China to take in order to reform and improve them

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44

Zhao, Wanlin. "Analysis of the Impact of Interest Rate Derivatives on the Market Risk of Commercial Banks in China." Advances in Economics, Management and Political Sciences 6, no. 1 (2023): 420–24. http://dx.doi.org/10.54254/2754-1169/6/20220181.

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With the development of China's financial derivatives market, China needs to pay more attention to the management of interest rate risk, and commercial banks should avoid interest rate risk typically through the role of derivatives. China's financial markets have been opened up to the rest of the world, and many international factors are influencing the changes in our financial markets. This paper focuses on the function of interest rate derivatives and their impact on commercial banks in China. This is an important step for commercial banks in China to take in order to reform and improve them

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45

Aman Chugh, Renuka Sharma, and Kiran Mehta. "Forex Risk Management by SMEs and Unlisted Non-financial Firms: A Literature Survey." Journal of Technology Management for Growing Economies 8, no. 2 (2017): 145–66. http://dx.doi.org/10.15415/jtmge.2017.82002.

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In the recent globalised financial markets, financial markets are more integrated which leads to more foreign exchange risk for firms. In such scenario currency derivatives are top most operational hedging strategy to manage foreign exchange risk. This scenario is different in developed and emerging markets as turnover of derivatives is growing swiftly in emerging markets and uses of currency derivatives is common but lower in comparison to the interest rate derivatives. In emerging markets (Hong Kong, Singapore and Brazil) use of currency derivatives is fifty per cent of total derivative trad

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46

Huong Trang, Kim. "Financial derivatives use and multifaceted exposures." Journal of Asian Business and Economic Studies 25, no. 1 (2018): 86–108. http://dx.doi.org/10.1108/jabes-04-2018-0004.

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PurposeThe purpose of this paper is to assess the effect of financial derivatives use on different exposures by comparing domestic firms, domestic multinational corporations (MNCs) and affiliates of foreign MNCs using a unique hand-collected data set of derivatives activities from 881 non-financial firms in eight East Asian countries over the period of 2003-2013.Design/methodology/approachIn this paper, the authors apply a two-stage approach. In the first stage, exposures to country risks, exchange rate and interest rate risks are estimated by using the market model. In the second stage, poten

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47

Renuka*, Dr N. "Investors Perception towards Investments in Derivatives." International Journal of Innovative Technology and Exploring Engineering 8, no. 12 (2019): 5421–28. http://dx.doi.org/10.35940/ijitee.l379181219.

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The most significant aspect of derivatives is risk management not about the elimination of risk. For Conducting ordinary mode of business operations financial derivatives affords a powerful tool for limiting risks to the investors. There are various derivative instruments like index futures. Stock futures, index option, stock options, interest rate futures, currency option, currently traded in these exchanges. The derivative investors ought to perceive the market trend, market reforms, government policies, market regulations; factors influencing derivatives investment [Motivating Factors], ret

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48

Holman, Glen, Carlos Correia, Lucian Pitt, and Akios Majoni. "The corporate use of derivatives by listed non-financial firms in Africa." Corporate Ownership and Control 11, no. 1 (2013): 671–90. http://dx.doi.org/10.22495/cocv11i1c7art5.

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This paper presents the results of an extensive analysis of derivative use by 692 companies in 20 countries across the African continent. The results show that 29% of non-financial companies in Africa use derivatives but that derivative use is dominated by firms within South Africa. The study finds that 54% of firms in South Africa use derivatives but only 5% of non-financial firms in Africa (excluding South Africa) use derivatives for hedging purposes. The majority of derivative use is directed toward the management of currency risks and the derivative instrument of choice is OTC forwards. Sw

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49

da Silva, Allan Jonathan, and Jack Baczynski. "Discretely Distributed Scheduled Jumps and Interest Rate Derivatives: Pricing in the Context of Central Bank Actions." Economies 12, no. 3 (2024): 73. http://dx.doi.org/10.3390/economies12030073.

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Interest rate dynamics are influenced by various economic factors, and central bank meetings play a crucial role concerning this subject matter. This study introduces a novel approach to modeling interest rates, focusing on the impact of central banks’ scheduled interventions and their implications for pricing bonds and path-dependent derivatives. We utilize a modified Skellam probability distribution to address the discrete nature of scheduled interest rate jumps and combine them with affine jump-diffusions (AJDs) in order to realistically represent interest rates. We name this class the AJD–

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50

West, G. "Interest Rate Derivatives in the South African Market Based on the Prime Rate." Studies in Economics and Econometrics 32, no. 1 (2008): 75–87. http://dx.doi.org/10.1080/10800379.2008.12106444.

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