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Bond Options and Swaptions Pricing : A Computational Investigation of Volatility Inference

Polyakov, Felix - 2013

of swap rates), to the market of bonds, (volatility of bond prices). In particular, we show why the proxy to bond's yield … to maturity from the swap market should be based on the swap rate maturing simultaneously with the bond. Numerical … is invertible -- inferring information about swap rate volatility smile, based on the data from the bond options market …

Persistent link: https://www.econbiz.de/10013079710

Pricing Interest Rate Derivatives after Ibor Fallback

Hasegawa, Takahiro - 2020

In this paper, I introduce and define interest rate models for pricing interest rate derivatives in ibor fallback environment. July 2017 Andrew Bailey, the CEO of the U.K. Financial Conduct Authority (FCA), speech on "The future of LIBOR" contains that there is an increased expectation that some...

Persistent link: https://www.econbiz.de/10012825267

Bewertung unbedingter börsenbehandelter Zins-Derivate und Analyse von Arbitrage-Gewinnmöglichkeiten mit Hilfe von Arbitrage-Signalen

Giegold, Uwe Alexander - 2004

Persistent link: https://www.econbiz.de/10012874882

American Bond Option Pricing in One-Factor Dynamic Term Structure Models

Jørgensen, Peter Løchte - 2012

Arbitrage-free pricing of American options on bonds in one-factor dynamic term structure models is investigated. We re-derive a general decomposition result which states that the American bond option premium can be split into the value of an otherwise equivalent European option and an early...

Persistent link: https://www.econbiz.de/10013096269

A Skellam Market Model for Loan Prime Rate Options

Chen, Zhanyu; Zhang, Kai; Zhao, Hongbiao - 2022

This paper documents vanilla interest-rate options (caps, floors and swaptions) newly introduced in China. The underlying rates are the RMB loan prime rates (LPRs), the foremost interest rates that matter to almost all businesses and households in China. They are digital with a tick size of five...

Persistent link: https://www.econbiz.de/10013289843

Implied Market Expectations Based on Different Subsets of Interest Rate Derivatives

Almeida, Thiago; Arismendi-Zambrano, Juan; Reboredo, Juan C. - 2022

From interbank interest rate option prices, we obtain the implied market expectations for interest rates using a genetic algorithm and a multifactor term structure model. We further analyse how those expectations differ for a subset of options and futures, and whether those expectations...

Persistent link: https://www.econbiz.de/10013306391

SOFR Derivative Pricing Using a Short Rate Model

Xu, Mingyang - 2022

In 2017 the Alternative Reference Rate Committee (ARRC) recommended the Secured Overnight Financing Rate (SOFR) as the replacement for USD LIBOR as the reference rate for use in derivatives and financial contracts. Since then SOFR-linked derivatives started to develop and their liquidities have...

Persistent link: https://www.econbiz.de/10013307638

Interest rate dynamics, derivatives pricing, and risk management

Chen, Lin - 1996

Persistent link: https://www.econbiz.de/10013278137

Options on bonds : implied volatilities from affine short-rate dynamics

Lorig, Matthew; Suaysom, Natchanon - In: Annals of finance 18 (2022) 2, pp. 183-216

Persistent link: https://www.econbiz.de/10013278980

Jacobi stochastic volatility factor for the LIBOR market model

Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, … - In: Finance and stochastics 26 (2022) 4, pp. 771-823

Persistent link: https://www.econbiz.de/10013440251