stochastic interest rates
Currency Option Pricing under Stochastic Interest Rates and Extended Normal Distribution
... under stochastic interest ...the interest term structure isn’t defined clearly in his ...the stochastic property of the volatility and don’t interpret the effect on exchange rate caused by ...
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Convertible bond valuation in a jump diffusion setting with stochastic interest rates
... constant interest rates and lognormal firm value, as to benchmark our algorithm to the exact pricing formula of Ingersoll ...and stochastic interest rates; we compare the results with ...
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European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates
... under stochastic interest rates has been investigated for along ...several stochastic interest rate processes, ...porating stochastic interest rates into the ...
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Investment hysteresis under stochastic interest rates
... under stochastic interest ...to interest rate volatility, the effects of mean reversion are also ...that interest rate uncertainty has a significant impact on NPV, because sizable gains in NPV ...
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On The Heston Model with Stochastic Interest Rates
... We discuss the Heston [Heston-1993] model with stochastic interest rates driven by Hull-White [Hull,White-1996] (HW) or Cox-Ingersoll-Ross [Cox, et al.-1985] (CIR) processes. Two projection ...
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Optimal investment strategy with debt financing under stochastic interest rates
... an interest rate below the threshold interest rate suggests good condition for taking loan and/or in- ...the interest rates are as low as possible, firm managers on the other hand have the ...
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A model for pricing real estate derivatives with stochastic interest rates
... under stochastic- and constant-rate using respectively BB and BSM models is opposite to that of the European ...tic interest rate only on European call and put options, it is easy to verify that the ...
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Dynamic asset allocation for bank under stochastic interest rates
... The optimal proportions of power utility function are continuous function of time and directly related to the interest rate. The first term of (4.6) coincides with the classical optimal one in Merton ([13, 14]) ...
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The Distribution of the Value of the Firm and Stochastic Interest Rates
... where the coefficient in the drift term denotes the (exogenous) stochastic short term interest rate and is the given volatility of the value process. In turn, the dynamics of the short term interest ...
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On cross currency models with stochastic volatility and correlated interest rates
... The present article is organized as follows. In Section 2 we discuss the extension of the Heston model by stochastic interest rates, described by short-rate processes. We provide details about some ...
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Option pricing in random field models with stochastic volatility for the term structure of interest rates
... Modeling the term structure dynamics of (stochastic) interest rates is crucial in the research of fixed-income markets. However, problems in this area are much more com- plicated than their ...
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Optimal Surrender of Guaranteed Minimum Maturity Benefits under Stochastic Volatility and Interest Rates
... of stochastic volatility and stochastic interest ...incorporating stochastic volatility captures “volatility smile / skew” often observed on the equity options ...incorporating ...
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An Empirical Comparison of Interest and Growth Rates
... 61 The fact that these economies behave so similarly strengthens this proposition. This finding is in favor of Homburg’s (1991, 1992, 2014) lan d argument that rules out the possibility of inef- ficiency in the limit. It ...
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Real interest rates, saving and investment
... real rates according to the `trend in°ation' measure (contrary to our expec- tation), de¯cits have no discernible e®ect on short rates, nor on the `moving average' long rate ...and interest ...
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Interest rates and bank risk taking
... of interest rates on bank risk ...low interest rates of the 2000s contributed to excess risk taking of banks and only secondarily with the impact of short term responses of risk taking to ...
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Money, interest rates, and exchange rates with endogenously segmented markets
... the interest rate term structure for two common processes for money growth and inflation: an autoregressive process and a long-memory ...and interest rates to a money ...short rates fall and ...
40
Causality and cointegration of exchange rates and interest rates Bank of Indonesia
... with interest rate of bank ...in interest rates of Indonesian banks, indirectly can raise and / or lower the exchange rate, but with this research and study provide and explain the opinion slightly ...
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Non linear convergence in Asian interest rates and inflation rates
... nominal interest rate differentials, inflation rate differentials, and real interest rate differentials at time ...However, interest rates and inflation rates may exhibit nonlinearities ...
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ANALYSIS OF THE MAIN THEORIES OF INTEREST RATES
... the interest rate is characterized in three key issues: the interest rate as a phenomenon, the interest rate as a product of factors (dependent variable) and the interest rate as a policy ...
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The Signalling Channel of Negative Interest Rates
... negative rates are, at best, ineffective, and at worst contractionary for ...negative rates have a positive intratemporal aggregate demand effect, whereas in our model, the intratemporal aggregate demand ...
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