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On the deterministic-shift extended CIR model in a negative interest rate framework

Di Francesco, Marco; Kamm, Kevin - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-26

finds constant maturity swap (CMS) rates very close to Bloomberg's CMS rates. …

Persistent link: https://www.econbiz.de/10013252794

Pricing and hedging bond power exchange options in a stochastic string term-structure model

Blenman, Lloyd P.; Bueno-Guerrero, Alberto; Clark, Steven P. - In: Risks : open access journal 10 (2022) 10, pp. 1-17

We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding expressions for call power options and constant...

Persistent link: https://www.econbiz.de/10013555525

Analysing quantiles in models of forward term rates

McWalter, Thomas A.; Schlögl, Erik; Van Appel, Jacques - In: Risks : open access journal 11 (2023) 2, pp. 1-18

The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a diagnostic tool for analysing the quantiles of...

Persistent link: https://www.econbiz.de/10014233216

Discretely distributed scheduled jumps and interest rate derivatives : pricing in the context of central bank actions

Silva, Allan Jonathan da; Baczynski, Jack - In: Economies : open access journal 12 (2024) 3, pp. 1-29

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...

Persistent link: https://www.econbiz.de/10014501143

Rational savings account models for backward-looking interest rate benchmarks

Macrina, Andrea; Skovmand, David - In: Risks : open access journal 8 (2020) 1/23, pp. 1-18

Interest rate benchmarks are currently undergoing a major transition. The LIBOR benchmark is planned to be discontinued by the end of 2021 and superseded by what ISDA calls an adjusted risk-free rate (RFR). ISDA has recently announced that the LIBOR replacement will most likely be constructed...

Persistent link: https://www.econbiz.de/10012203790

Gaussian process regression for swaption cube construction under no-arbitrage constraints

Cousin, Areski; Deleplace, Adrien; Misko, Adrien - In: Risks : open access journal 10 (2022) 12, pp. 1-19

In this paper, we introduce a 3D finite dimensional Gaussian process (GP) regression approach for learning arbitrage-free swaption cubes. Based on the possibly noisy observations of swaption prices, the proposed 'constrained' GP regression approach is proven to be arbitrage-free along the strike...

Persistent link: https://www.econbiz.de/10014230924

Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities

Sviščuk, Anatolij; Franco, Sebastian - In: Risks : open access journal 11 (2023) 9, pp. 1-22

calculate averaged swap prices for financial markets with semi-Markov volatilities? This question has not been considered in the …

Persistent link: https://www.econbiz.de/10014375249

What Determines U.S. Swap Spreads?

Kobor, Adam; Shi, Lishan; Zelenko, Ivan - 2012

This paper examines the evolution of the U.S. interest swap market. The authors review the theory and past empirical … studies on U.S. swap spreads, and estimate an error-correction model for maturities of 2, 5, and 10 years from 1994 to 2004 … counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component …

Persistent link: https://www.econbiz.de/10012563358

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank review / Central Bank of the Republic of Turkey 21 (2021) 2, pp. 49-57

banking sector in international markets by calculating asset swap spread for US dollar-denominated fixed coupon eurobonds … and banking sector yield curves and then constructs a synthetic asset swap structure to obtain embedded credit risk premia … default swap premium. In addition to this, estimated eurobond curves are also useful for monitoring borrowing cost dynamics of …

Persistent link: https://www.econbiz.de/10012592021

The macrodynamics of Indian rupee swap yields

Akram, Tanweer; Mamun, Khawaja - In: International journal of empirical economics 3 (2024) 1, pp. 1-23

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors … influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial … the short-term interest rate has an important influence on swap yields. This implies that the Reserve Bank of India (RBI …

Persistent link: https://www.econbiz.de/10014507230