Similar Search Results

Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Persistent link: https://www.econbiz.de/10012628654

Valuation and Risk Management of Vanilla LIBOR Swaptions in a Fallback

Skoufis, Georgios - 2022

of fixings for LIBOR interest rate swaps in terms of the relevant swap rates that reference the Risk-Free Rate that will … replace a particular LIBOR post its cessation. The nonlinear mappings proposed from the swap rate that references the Risk …-Free Rate index to the LIBOR swap rate that can be used contractually to value derivative instruments, such as vanilla European …

Persistent link: https://www.econbiz.de/10013309036

Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...

Persistent link: https://www.econbiz.de/10013441427

Bias correction for bond option greeks via jackknife

Zhang, Jinyu; Gao, Kang; Li, Yong - In: The journal of derivatives : JOD 28 (2021) 4, pp. 45-63

Persistent link: https://www.econbiz.de/10012612919

Value-at-risk estimation with stochastic interest rate models for option-bond portfolios

Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20

Persistent link: https://www.econbiz.de/10011807256

Valuation of callable/putable corporate bonds in a one-factor lognormal interest-rate model

Goldberg, Robert S.; Ronn, Ehud I.; Xu, Liying - In: The journal of fixed income : JFI 31 (2021) 1, pp. 80-95

Persistent link: https://www.econbiz.de/10012613114

Pricing interest rate derivatives under volatility uncertainty

Holzermann, Julian - 2020

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion, which drives the forward rate dynamics. The absence...

Persistent link: https://www.econbiz.de/10012175590

Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis

Rom, Niels - 2025

Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8 … been either a Monte Carlo simulation or a Finite Difference method. This book covers both methods and, in addition, the …

Persistent link: https://www.econbiz.de/10015401840

Rate fears gauges and the dynamics of fixed income and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265

Persistent link: https://www.econbiz.de/10011377668

Rate fears gauges and the dynamics of fixed income and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265

Persistent link: https://www.econbiz.de/10011377669