Search Results - subject_exact:"Swaption"

Transfer learning of discount curves between bonds and swaps : an empirical study

Camenzind, Nicolas; Filipović, Damir - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609770

A new functional setting for term structure modeling using the Heath-Jarrow-Morton framework

Pokojovy, Michael; Nkum, Ebenezer; Fullerton, Thomas M. - 2026

The well-known Heath-Jarrow-Morton (HJM) framework provides a universal and efficacious instrument for modeling the stochastic evolution of an entire yield curve by explaining the interest rate dynamics in continuous time under no-arbitrage conditions. Existing implementations involve...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640561

Forward-modeling approaches to American option valuation : additive and multiplicative HJM representations

Fernando, Kushantha; Manathunga, Vajira - 2026

This paper introduces an HJM-style forward modeling framework for valuing American options. Instead of modeling the dynamics of the underlying asset, we model the maturity-indexed forward drift of the gain process, leading to two no-arbitrage representations of the option value. The first is an...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676648

Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015619005

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Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024

Book / Working Paper

Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024

Book / Working Paper

Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024

Book / Working Paper

Interest rate modelling in the multi-curve framework : foundations, evolution, transition, and implementation

Henrard, Marc - 2026 - Second edition

Chapter 1. Introduction -- Chapter 2. Collateral Framework -- Chapter 3. Benchmarks and the Multi-curve Framework Foundations -- Chapter 4. Curve calibration and Interpolation -- Chapter 5. Curve modelling -- Chapter 6. Transition -- Chapter 7. More instruments -- Chapter 8. Risk management.

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081864

Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014293114

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Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - 2023

Book / Working Paper

High-dimensional parameter calibration of interest rate model for the Korean insurance capital standard

Baik, Seung Min; Choi, Changhui; Jang, Bong-Gyu - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015607425

Treasury bond futures and options

Johnson, Owain; Leininger, Eric; Kronstein, Jonathan; … - 2026

"U.S. Treasury futures and options are the world's largest fixed income markets. They enable investors and traders to trade, risk manage and invest in U.S. government notes or bonds for future delivery. The U.S. government bond market is the most liquid, secure and diverse among international...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015634388

The impact of yield curve control under different regimes on Japanese Government Bonds and swap markets in the super long term

Ito, Takayasu - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371247

Banks' dynamic interest rate risk hedging

Bianchi, Michele Leonardo; Ruzzi, Dario; Segura, Anatoli - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655884

US ($) interest rate and cross currency swaps after the LIBOR funeral : a corporate treasury primer

Heidorn, Thomas; Liem, Erik; Requardt, Stefan; … - 2025

This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross-currency swaps transition to compounded SOFR,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333448

Macroeconomic effects of monetary policy in Japan : an analysis using interest rate futures surprises

Kubota, Hiroyuki; Shintani, Mototsugu - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193877

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Macroeconomic effects of monetary policy in Japan : an analysis using interest rate futures surprises

Kubota, Hiroyuki; Shintani, Mototsugu - 2023

Book / Working Paper

Macroeconomic Effects of Monetary Policy in Japan an Analysis Using Interest Rate Futures Surprises

Kubota, Hiroyuki; Shintani, Mototsugu - 2022

Book / Working Paper

Biodiversity linked bonds : an option pricing based valuation approach

Chan-Lau, Jorge A. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015407861

Market liquidity in treasury futures market during March 2020

Gousgounis, Eleni; Mixon, Scott; Tuzun, Tugkan; Vega, Clara - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015437941

Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja - 2025

This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap yields of different maturity tenors in the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015445622

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Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja - 2023

Book / Working Paper

Semi-Markov-modulated exponential-affine bond prices

Siu, Tak Kuen; Elliott, Robert J. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015555024

Discounted-likelihood valuation of variance and volatility swaps

Rujeerapaiboon, Napat; Sanae Rujivan; Chen, Hongdan - 2025

The valuation of financial derivatives often assumes risk neutrality with respect to the risk-neutral martingale measure, which prevents arbitrage opportunities. However, casual traders may still incur substantial losses when trading at this risk-neutral price, especially when the price has to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015573691

High-dimensional parameter calibration of interest rate model for the Korean insurance capital standard

Baik, Seung Min; Choi, Changhui; Jang, Bong-Gyu - 2025

We propose a method for calibrating high-dimensional parameters in the Hull-White one-factor model using market prices of swaptions, aimed at generating mark-to-market interest rate scenarios in the Korean insurance industry. Our approach integrates a trust region-based Bayesian optimization...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015397306

Lost in the LIBOR transition

Backwell, Alex; Macrina, Andrea; Schlögl, Erik; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534047

On the Hull-White model with volatility smile for Valuation Adjustments

Zwaard, Thomas van der; Grzelak, Lech A.; Oosterlee, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534206

Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility

Almeida, Thiago Ramos - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015055200

Price discovery function of government bond futures : evidence from chinese 10-year treasury note markets

Zhu, Caibin; Wang, Yilin; Chen, Kai - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374935

A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA

Hoencamp, J. H.; Jain, Surbhi; Kandhai, B. D. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014552078

Embedded theoretical quality option pricing in Treasury bond futures : starting from the definition deviation of conversion factor

Yang, Xiaofeng; Zhao, Ling - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015375563

Information flow across the futures term structure : evidence from Chinese corn futures market

Xie, Wei; Yi An - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464869

OSE 3-month TONA futures and BOJ monetary policy

Stenfors, Alexis - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015066043

Interest rate derivatives market : peculiarities, problems and prospects for russia

Karov, Eldar; Soloviev, Pavel Yu.; Krinichansky, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015431875

Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015619005

Show 3 more versions 3

Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024

Book / Working Paper

Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024

Book / Working Paper

Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024

Book / Working Paper

Bond-related derivatives

Fabozzi, Frank J.; Jong, Marielle de; Fischer, Mounia … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434509

Euro interest rate swap yields : some ARDL models

Akram, Tanweer; Mamun, Khawaja - 2024

This paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short-term interest rate has an economically and statistically significant effect on EUR swap yields of different maturity tenors, after controlling for various key macroeconomic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014531240

US Dollar swaps after LIBOR

Heidorn, Thomas; Meier, Rebecca - 2024

The main focus of this paper is a comprehensive overview of the US$ reference rate reform, with a particular focus on its implications for USD interest rate swaps (IRS). This paper aims to shed light on the current situation and future developments in a changing financial landscape. This paper...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014468854

Extracting market views from derivative prices

Weisman, Andrew - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434587

Bond portfolio hedging with u.s. treasury futures

Kobor, Adam - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434595

A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options

Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014456945

The macrodynamics of Indian rupee swap yields

Akram, Tanweer; Mamun, Khawaja - 2024

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach. It examines whether the short-term interest rate has a decisive influence on long-term INR swap yields after controlling...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014507230

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The macrodynamics of Indian Rupee swap yields

Akram, Tanweer; Mamun, Khawaja - 2023

Book / Working Paper

Consumer mortgage portfolio hedging with interest rate swaps

Niehaus, Joseph - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434668

Macro-financial models of Canadian dollar interest rate swap yields

Akram, Tanweer; Mamun, Khawaja - 2024

This paper analyzes the dynamics of Canadian dollar-denominated (CAD) interest rate swap yields. It applies autoregressive distributive lag (ARDL) models, using monthly time series data, to estimate the effects of the current short-term interest rate and other relevant macro-financial variables...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015152683

Hedging interest rate risk in life insurance using interest rate derivatives

Russo, Vincenzo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434669

Financial derivatives usage and firm value in turbulent periods : comparative evidence from India during the COVID-19 crisis

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015436966

The market liquidity of interest rate swaps

2024

This paper studies market liquidity in interest rate swaps (IRS) before and during the global tightening of monetary policy. IRS constitute the single largest derivatives segment globally. Banks and Pension Funds extensively rely on IRS to hedge interest rate risk. Hence, providing an...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015320846