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Relevant bibliographies by topics / Interest rates derivatives

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Academic literature on the topic 'Interest rates derivatives'

Author: Grafiati

Published: 4 June 2021

Last updated: 5 February 2022

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Journal articles on the topic "Interest rates derivatives"

1

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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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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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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Vasina, E. V. "DEVELOPMENT OF DERIVATIVE MARKET IN 2000-2012." MGIMO Review of International Relations, no. 3(36) (June 28, 2014): 88–95. http://dx.doi.org/10.24833/2071-8160-2014-3-36-88-95.

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At the end of XIX century futures exchange emerged, in the early 70-ies XX century - option exchange of financial derivatives. These exchanges gave a huge boost to the development of market of the operations with derivative financial instruments. In fact, in the 1970-1980-ies a new market segment was actually formed - the stock and financial derivatives. Trade in financial derivatives began in the OTC market, which accounts for most of the trade of derivatives. Today volumes of the OTC market of derivatives are several times greater than the volume of world trade and world GDP. From 2000 to 20

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Brada, Jaroslav. "Use of Forward Interest Rates and Forward Exchange Rates for the Valuation of Currency-Interest Rate Derivatives." Český finanční a účetní časopis 2014, no. 1 (2014): 6–18. http://dx.doi.org/10.18267/j.cfuc.377.

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Sørensen, Carsten. "Stock index dynamics and derivatives pricing with stochastic interest rates." Review of Derivatives Research 2, no. 4 (1998): 261–85. http://dx.doi.org/10.1007/bf01574149.

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Ciurlia, P., and A. Gheno. "A model for pricing real estate derivatives with stochastic interest rates." Mathematical and Computer Modelling 50, no. 1-2 (2009): 233–47. http://dx.doi.org/10.1016/j.mcm.2008.12.005.

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Baaquie, Belal E., Cui Liang, and Mitch C. Warachka. "Hedging LIBOR derivatives in a field theory model of interest rates." Physica A: Statistical Mechanics and its Applications 374, no. 2 (2007): 730–48. http://dx.doi.org/10.1016/j.physa.2006.08.020.

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Cheng, Benjamin, Christina Sklibosios Nikitopoulos, and Erik Schlögl. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?" Journal of Banking & Finance 95 (October 2018): 148–66. http://dx.doi.org/10.1016/j.jbankfin.2017.05.012.

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Frey, Rüdiger, and Daniel Sommer. "A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates." Applied Mathematical Finance 3, no. 4 (1996): 295–317. http://dx.doi.org/10.1080/13504869600000014.

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Dissertations / Theses on the topic "Interest rates derivatives"

1

Twarog, Marek B. "Pricing security derivatives under the forward measure." Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-053007-142223/.

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Sarais, Gabriele. "Pricing inflation and interest rates derivatives with macroeconomic foundations." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/25266.

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I develop a model to price inflation and interest rates derivatives using continuous-time dynamics linked to monetary macroeconomic models: in this approach the reaction function of the central bank, the bond market liquidity, and expectations play an important role. The model explains the effects of non-standard monetary policies (like quantitative easing or its tapering) on derivatives pricing. A first adaptation of the discrete-time macroeconomic DSGE model is proposed, and some changes are made to use it for pricing: this is respectful of the original model, but it soon becomes clear that

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Smetaniouk, Taras. "Pricing variance derivatives using hybrid models with stochastic interest rates." College Park, Md.: University of Maryland, 2008. http://hdl.handle.net/1903/8200.

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Thesis (Ph. D.) -- University of Maryland, College Park, 2008.<br>Thesis research directed by: Applied Mathematics and Scientific Computation Program. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.

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Nohrouzian, Hossein. "An Introduction to Modern Pricing of Interest Rate Derivatives." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28415.

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This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. Moreover, the construction of interest rate models (term-structure models), pricing of bonds and interest rate derivatives, using both equilibrium and no-arbitrage approaches are discussed, compared and contrasted. Further, we look at the HJM framework and the LMM model to evaluate and simulate forward curves and find the forward rates as t

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Wang, Shijun. "Pricing American derivatives and interest rates derivatives based on characteristic function of the underlying asset returns." Thesis, Queen Mary, University of London, 2003. http://qmro.qmul.ac.uk/xmlui/handle/123456789/1805.

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In this thesis I introduce a new methodology for pricing American options when the underlying model of the asset price allows for stochastic volatility and/or it has a multi-factor structure. Our approach is based on a decomposition of an American option price into its European options counterpart price and the early exercise premium, paid by the option holder in order to keep the right of exercising the option at any time-point before its expiration date. Based on closed form solutions of the joint characteristic function of the state variables driving the underlying model, the thesis provide

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Rayée, Grégory. "Essays on pricing derivatives by taking into account volatility and interest rates risks." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209649.

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Dans le Chapitre 1, nous présentons une nouvelle approche pour évaluer des options dites à barrières basée sur une méthode connue sous le nom de méthode Vanna-Volga. Cette nouvelle méthode nous permet une calibration simple et rapide sur le marché des options à barrières directement ce qui permet d'évaluer ces options avec un outil en accord avec le marché. Nous comparons également nos résultats avec ceux provenant d’autres modèles célèbres et nous étudions la sensibilité de cette méthode par rapport aux données du marché. Nous donnons une nouvelle justification théorique associée à la méthode

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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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Damberg, Petter, and Alexander Gullnäs. "Interest rate derivatives: Pricing of Euro-Bund options : An empirical study of the Black Derman & Toy model (1990)." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-24472.

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The market for interest rate derivatives has in recent decades grown considerably and the need for proper valuation models has increased. Interest rate derivatives are instruments that in some way are contingent on interest rates such as bonds and swaps and most financial transactions are in some way exposed to interest rate risk. Interest rate derivatives are commonly used to hedge this risk. This study focuses on the Black Derman & Toy model and its capability of pricing interest rate derivatives. The purpose was to simulate the model numerically using daily Euro-Bunds and options data t

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Slinko, Irina. "Essays in option pricing and interest rate models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI), 2006. http://www2.hhs.se/EFI/summary/706.htm.

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Park, Tae Young. "Efficiency and Accuracy of Alternative Implementations of No-Arbitrage Term Structure Models of the Heath-Jarrow-Morton Class." Diss., Virginia Tech, 2001. http://hdl.handle.net/10919/29494.

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Models of the term structure of interest rates play a central role in the modern theory of pricing bonds and other interest rate claims. Term structure models based on the principle of no-arbitrage, especially those of the Heath-Jarrow-Morton (1992) class, have become very popular recently, both with academics and practitioners. Surprisingly however, although the implied volatility function plays a crucial role in these no-arbitrage term structure models, there is little systematic evidence to guide optimal model specification within this broad class. We study the implied volatility in the Hea

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Books on the topic "Interest rates derivatives"

1

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

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Interest rate swaps and their derivatives: A practitioner's guide. Wiley, 2009.

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Pricing interest-rate derivatives: A Fourier-transform based approach. Springer, 2008.

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Beyna, Ingo. Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis. Springer Berlin Heidelberg, 2013.

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Neftci, Salih N. Puttable and extendible bonds: Developing interest rate derivatives for emerging markets. International Monetary Fund, IMF Institute, 2003.

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Trolle, Anders B. A general stochastic volatility model for the pricing and forecasting of interest rate derivatives. National Bureau of Economic Research, 2006.

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

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

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

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

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Book chapters on the topic "Interest rates derivatives"

1

Ekstrand, Christian. "Interest Rates." In Financial Derivatives Modeling. Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-22155-2_13.

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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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Kienitz, Jörg. "Rates." In Interest Rate Derivatives Explained. Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137360076_3.

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Lichters, Roland, Roland Stamm, and Donal Gallagher. "Interest Rates." In Modern Derivatives Pricing and Credit Exposure Analysis. Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137494849_11.

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Carreira, Marcos C. S., and Richard J. Brostowicz. "Interesting BRL Interest Rates." In Brazilian Derivatives and Securities. Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137477279_3.

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Deutsch, Hans-Peter. "Spot Transactions on Interest Rates." In Derivatives and Internal Models. Palgrave Macmillan UK, 2002. http://dx.doi.org/10.1057/9780230502109_16.

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Deutsch, Hans-Peter. "Forward Transactions on Interest Rates." In Derivatives and Internal Models. Palgrave Macmillan UK, 2002. http://dx.doi.org/10.1057/9780230502109_17.

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Deutsch, Hans-Peter. "Spot Transactions on Interest Rates." In Derivatives and Internal Models. Palgrave Macmillan UK, 2004. http://dx.doi.org/10.1057/9781403946089_16.

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Conference papers on the topic "Interest rates derivatives"

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Hassell, Bryan, and Alfonso Ortega. "An Investigation of Scale Variation in Multi-Layer Mini- and Micro-Channel Heat Sinks in Single Phase Flow Using a Two Equation Porous Media Model." In ASME 2009 Heat Transfer Summer Conference collocated with the InterPACK09 and 3rd Energy Sustainability Conferences. ASMEDC, 2009. http://dx.doi.org/10.1115/ht2009-88423.

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Research in liquid cooled mini- and micro-channel heat sinks is growing due to the potentially high heat fluxes that can be dissipated with such devices. Ostensibly, mini- or microchannel heat sinks are derivatives of more generalized porous structures. They are porous, but the pores are continuous and deterministic in structure, with well defined geometries created by etching or cutting channels into solid base material. As such, deterministic small scale heat sinks of this type lend themselves to modeling using the well-developed theories for saturated porous media. Based on the principle th

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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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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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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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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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Mittal, Anshul, Sameera D. Wijeyakulasuriya, Dan Probst, et al. "Multi-Dimensional Computational Combustion of Highly Dilute, Premixed Spark-Ignited Opposed-Piston Gasoline Engine Using Direct Chemistry With a New Primary Reference Fuel Mechanism." In ASME 2017 Internal Combustion Engine Division Fall Technical Conference. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/icef2017-3618.

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This work presents a modeling approach for multidimensional combustion simulations of a highly dilute opposed-piston spark-ignited gasoline engine. Detailed chemical kinetics is used to model combustion with no sub-grid correction for reaction rates based on the turbulent fluctuations of temperature and species mass fractions. Turbulence is modeled using RNG k-ε model and the RANS-length scales resolution is done efficiently by the use of automatic mesh refinement when and where the flow parameter curvature (2nd derivative) is large. The laminar flame is thickened by the RANS viscosity and a c

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Michopoulos, John G., Athanasios Iliopoulos, and Marcus Young. "Towards Static Contact Multiphysics of Rough Surfaces." In ASME 2012 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/detc2012-71055.

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This paper is describing the current status of ongoing work on developing a comprehensive modeling and simulation infrastructure capable of addressing the multiphysics behavior aspects of rough surfaces in contact. The electrical and thermal response of bodies in contact under the influence of mechanical load electric currents and thermal fluxes, is a topic of interest for many application areas. We are presenting a multiscale theory leading to derivations of expressions of electric and thermal conductivities for the case of static contact. The associated model contains both an asperity based

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Reports on the topic "Interest rates derivatives"

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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