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  • Search: subject:"Discrete-time dynamic term structure model"
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Subject
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Discrete-time dynamic term structure model 2 Discretionary pricing 2 Mark-to-model valuation 2 Ordinal response model 2 Volatility risk 2 Hedging 1 Option pricing theory 1 Optionspreistheorie 1 Risikoprämie 1 Risk premium 1 Volatility 1 Volatilität 1 Yield curve 1 Zinsstruktur 1
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Undetermined 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Blöchlinger, Andreas 2
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Journal of Banking & Finance 1 Journal of banking & finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Identifying, valuing and hedging of embedded options in non-maturity deposits
Blöchlinger, Andreas - In: Journal of Banking & Finance 50 (2015) C, pp. 34-51
Non-maturity deposits like savings accounts or demand deposits contain significant option risks caused by the bank’s discretionary pricing and the customers’ withdrawal right. Option risks follow from inherent non-linear factor exposures. I propose an ordinal response model for deposit rate...
Persistent link: https://www.econbiz.de/10011118111
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Cover Image
Identifying, valuing and hedging of embedded options in non-maturity deposits
Blöchlinger, Andreas - In: Journal of banking & finance 50 (2015), pp. 34-51
Persistent link: https://www.econbiz.de/10010509151
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