Problems with pricing Interest rate derivatives
Pricing Interest Rate Derivatives under Volatility Uncertainty
... the pricing of contracts in fixed income markets in the presence of volatil- ity ...sublinear pricing measure for ad- ditional ...robust pricing rules for the most common interest rate ...
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Pricing Interest Rate Derivatives The effects of the 2007 Credit Crisis
... given interest rate; either fixed or ...free rate had to be used as well as a new me- thod of pricing interest rate ...ence rate did not mirror a risk free rate ...
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A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives
... cross-currency interest rate derivatives with exotic features, such as Bermudan cancelable PRDC swaps, are particularly sensitive to the FX volatility ...FX rate. Under a three-factor model, ...
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A PDE pricing framework for cross-currency interest rate derivatives
... PDE pricing framework for exotic cross-currency interest rate derivatives under a FX skew model, with strong emphasis on Bermudan cancelable PRDC ...the pricing of Bermudan cancelable ...
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A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives
... LIBOR rate distributions have fatter tails than the normal distribution and the model would predict very steep lognormal implied skews— steeper than observed in the ...forward rate processes in a flexible ...
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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
... forecasting interest rates and interest rate ...forward rate curve can be simulated makes it useful for pricing more complex interest rate derivatives by Monte ...
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An analysis of the Libor and Swap market models for pricing interest-rate derivatives
... for pricing caplets and swaptions, respectively using ...for pricing the respective interest rate derivatives using Monte Carlo ...forward rate (LIBOR or swap) dynamics for a ...
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Pricing Interest Rate Derivatives Using Black-Derman-Toy Short Rate Binomial Tree
... short rate binomial tree fitted to an initial spot rate curve and volatility of short rate, using the Black-Derman-Toy ...tree, pricing of some interest rate derivatives ...
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INTEREST RATE DERIVATIVES: PRICING OF EURO-BUND OPTIONS An empirical study of the Black Derman & Toy model (1990)
... for interest rate derivatives has in recent decades grown considerably and the need for proper valuation models has ...increased. Interest rate derivatives are instruments that ...
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Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
... The present work follows an alternative route with respect to those cited above, in the sense that a) we adopt a bottom-up practitioner’s perspective, starting from the current market practice of using multiple yield ...
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Pricing Interest Rate Derivatives Post-Credit Crunch
... with interest accrual on the collateral position This is reasonable (ignoring inefficiencies in the agreement) The default of Lehman Brothers highlighted the ...
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Interest Rate Derivatives: Pricing in a Multiple-Curve Framework
... OIS rate makes it evident that the former rate cannot be assumed to be a risk-free rate ...OIS rate as the best proxy available for the risk-free ...the interest rate market ...
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Pricing of cross-currency interest rate derivatives on Graphics Processing Units
... i. partitioning the pricing of cancelable PRDC swaps into two entirely independent pricing subproblems in each period of the tenor structure ii. efficient parallelization on GPUs of the HV ADI scheme at ...
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Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
... and Pricing Results We start with the constant volatility ...absolute pricing error of the exactly calibrated model is just above 2 volatility points, whereas the non-exactly calibrated model has an average ...
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A discrete-time two-factor model for pricing bonds and interest rate derivatives under random volatility
... Calibrating our two-factor model to the treasury yield curve (eight different maturities) for a few randomly chosen intervals in the period 1990–96, we find that the two-factor version does not improve (statistically and ...
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Interest Rate Derivatives
... 14/20 A final important point to note is that, for an option with a particular exercise price, the value of 0.01% of premium is constant, while the tick value of the underlying futures contract is variable with the level ...
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Interest Rate Derivatives: An analysis of interest rate hybrid products
... option pricing, the volatility smile phenomena can be explained assuming that the volatility of the underlying follows a stochastic process such as that detailed in ...terest rate has volatility which ...
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Interest-rate models: an extension to the usage in the energy market and pricing exotic energy derivatives.
... the interest-rate markets and the energy ...existing pricing model for storage options to improve the model ...Modeling interest-rate is a challenging task, because it involves modeling ...
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Pricing Interest Rate Related Instruments
... of interest rates and a model of the short rate, we can begin to price a variety of derivative securities whose payoff is a function of the evolution of the interest ...the interest rate ...
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Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models
... the problems with implementing multi-factor models has restricted the application of the HJM model, until now, to standard instruments and this exposition is the first to propose efficient implementation ...
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