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  • Search: subject:"negative rate"
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Year of publication
Subject
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negative rate 2 Eurosystem 1 Free Boundary SABR 1 Interest rate 1 Interest rate derivative 1 Libor Market Model (LMM) 1 Option pricing theory 1 Optionspreistheorie 1 SABR 1 SABR-LMM 1 Stochastic process 1 Stochastischer Prozess 1 Yield curve 1 Zins 1 Zinsderivat 1 Zinsstruktur 1 deposit facility 1 monetary policy implementation 1
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Online availability
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Free 2
Type of publication
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Article 2
Type of publication (narrower categories)
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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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Deng, Geng 1 Kashama, M. Kasongo 1 Wang, Xindong 1 Xiong, Jie 1
Published in...
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Economic Review 1 Quantitative finance and economics 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Extension of SABR Libor Market Model to handle negative interest rates
Xiong, Jie; Deng, Geng; Wang, Xindong - In: Quantitative finance and economics 4 (2020) 1, pp. 148-171
Persistent link: https://www.econbiz.de/10012176741
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Cover Image
The how and why of a negative rate for the deposit facility
Kashama, M. Kasongo - In: Economic Review (2014) II, pp. 102-111
territory. In simple terms, the negative rate means that banks have to pay in order to deposit their surplus liquidity with the … refinancing for the banking system have fallen since the beginning of June, even if the dynamic impact of the negative rate on … launched in September 2014 should encourage efficient transmission of the negative rate to the real economy. In addition …
Persistent link: https://www.econbiz.de/10011272859
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