Search Results - subject:"forward curve"

Combining negative rates, forward guidance and asset purchases: Identification and impacts of the ECB's unconventional policies

Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; … - 2021

event study with forward curve counterfactuals that we construct using predictive rate densities derived from rate options …

Persistent link: https://www.econbiz.de/10012605260

Combining negative rates, forward guidance and asset purchases : identification and impacts of the ECB's unconventional policies

Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; … - 2021

event study with forward curve counterfactuals that we construct using predictive rate densities derived from rate options …

Persistent link: https://www.econbiz.de/10012519567

Exact smooth term structure estimation

Filipović, Damir; Willems, Sander - 2016

We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic...

Persistent link: https://www.econbiz.de/10011516039

A Power Market Forward Curve with Hydrology Dependence An Approach based on Artificial Neural Networks

Green, Rikard - Knut Wicksells centrum för finansvetenskap, … - 2015

This paper develops an hourly forward curve for power markets where the intra-day and intra-week shapes (profiles … dependence of the shapes. We conclude the paper with a real world valuation task. By combining our proposed forward curve with a …

Persistent link: https://www.econbiz.de/10011132254

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps...

Persistent link: https://www.econbiz.de/10011110035

Markets Evolution After the Credit Crunch

Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012

We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...

Persistent link: https://www.econbiz.de/10011260721

Sources of return in the index futures markets

Zaremba, Adam - In: Contemporary Economics 5 (2011) 2, pp. 54-71

The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in...

Persistent link: https://www.econbiz.de/10010285683

The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011

Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that...

Persistent link: https://www.econbiz.de/10011259157

Usefulness of the Forward Curve in Forecasting Oil Prices

Yanagisawa, Akira - East Asian Bureau of Economic Research (EABER) - 2009

When people analyse oil prices, the forward curve is often referred to as it reflects the average view among market … participants. In this paper, to what extent the forward curve provides useful information in forecasting oil prices was analysed … quantitatively. Although the usefulness of the forward curve is confirmed in forecasting oil prices, the effect in reducing forecast …

Persistent link: https://www.econbiz.de/10009364017

Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors. Within such double-curve-single-currency framework,...

Persistent link: https://www.econbiz.de/10008457180