Download or read book Pricing Interest Rate Swaps Module I Term Structure written by and published by Alchemy Technologies. This book was released on with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interest Rate Swaps and Their Derivatives written by Amir Sadr and published by John Wiley & Sons. This book was released on 2009-09-09 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main "rates" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market. Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.
Download or read book The Pricing of Vulnerable Interest Rate Swap Contracts and the Term Structure of Interest Rates written by Kwok-wah Fung (Joseph) and published by . This book was released on 1994 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interest Rate Swaps and Default free Bonds written by Simon Babbs and published by . This book was released on 1991 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Term Structure of Interest Rates Yield Curve Residuals and the Consistent Pricing of Interest Rate Derivatives written by Massoud Heidari and published by . This book was released on 2005 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic term structure models price interest rate options based on the model-implied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often takes the market observed yield curve as given and focuses exclusively on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve, they will be carried over permanently. In this paper, we propose an m+n model structure that bridges the gap between the two approaches and consistently prices both interest rates and interest rate options. The first m factors capture the systematic movement of the yield curve, whereas the latter n factors capture the impacts of the yield curve residuals on option pricing. We estimate a 3+3 Gaussian affine example using eight years of data on U.S. dollar LIBOR, swap rates, and interest rate caps. The model performs well in pricing both interest rates and interest rate caps. Furthermore, estimation shows that small residuals on the yield curve can have large impacts on pricing interest rate caps. Under the estimated model, the three yield curve factors explain over 99 percent of the variation on the yield curve, but account for less than 50 percent of the variation on cap implied volatilities. Incorporating the three residual factors improves the explained variance on cap implied volatility to over 99 percent.
Download or read book Interest Rate Derivatives Explained Volume 2 written by Jörg Kienitz and published by Springer. This book was released on 2017-11-08 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions by a stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.
Download or read book A Simple Binomial No arbitrage Model of the Term Structure written by Thomas J. O'Brien and published by . This book was released on 1991 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interest Rate Currency Swaps written by Ravi E. Dattatreya and published by Irwin Professional Publishing. This book was released on 1994 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The swap market has revolutionized the world of finance. No other instrument provides such flexibility in managing the risk of assets and liabilities. Indeed, swaps simply have no equal as financing and risk-management tools." "The growth of the swap market has been phenomenal. After coming into being less than 20 years ago, the notional value of the swap market has expanded to around $3 trillion. Among financial professionals, the influence of the swap market is second only to the Treasury yield curve in importance." "Interest Rate and Currency Swaps explains how swaps work and how they can be applied to a variety of situations. In clear, straightforward language this book describes the structure of swaps from simple to complex, risk and price analysis of swap transactions and hedging principles." "Many corporations use interest rate swaps to borrow at lower costs than they could through more traditional financing means. Similarly, with the globalization of business, currency swaps are frequently used to hedge foreign exchange risk. Indeed, for most large companies and financial institutions, swap transactions have become routine." "As the swap market has grown, so has the complexity of swap instruments. Authors Ravi Dattatreya, Raj Venkatesh and Vijaya Venkatesh describe in detail a variety of swap structures including: off-market swaps, zero coupon swaps, swaps-in-arrears, basis swaps and forward swaps." "In addition, the authors devote considerable attention to asset/liability management through swaps. They describe basic hedging techniques, as well as unveiling a new method for managing yield curve risk. For any financial institution or corporation grappling with interest rate risk, this section alone is well worth the book's price." "Other topics addressed include measuring interest rate risk, multi-currency hedging, arbitrage and speculation, scenario analysis, and Monte Carlo simulation." "Without question, swaps are the single most important finance development in recent years. Interest Rate and Currency Swaps is the definitive source to understand and apply these powerful instruments."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Download or read book Pricing Financial Swaps in an Options Pricing Framework written by J. Gregg Whittaker and published by . This book was released on 1988 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Swaps in Practice written by Simon Rogers and published by . This book was released on 2004 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Features a step-by-step guide to the structures, pricing and hedging mechanisms of complex instruments, with a walk-through of the maths, and their uses, the market and regulatory and accounting issues that affect their use.
Download or read book An Econometric Model of the Term Structure of Interest Rate Swap Yields written by Darrell Duffie and published by . This book was released on 1995 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Wiley s Level I CFA Program 11th Hour Final Review Study Guide 2023 written by Wiley and published by John Wiley & Sons. This book was released on 2022-12-08 with total page 423 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps written by Anurag Gupta and published by . This book was released on 2008 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the convexity bias introduced by pricing interest rate swaps off the Eurocurrency futures curve and the incorporation of this bias in prices over time. The convexity bias arises because of the difference between a futures versus a forward contract on interest rates, since the payoff to the latter is non-linear in interest rates. Using daily data from 1987-1996, the differences between market swap rates and the swap rates implied from Eurocurrency futures prices are studied for the four major interest rate swaps markets - $, ',', and DM - and implied rates cannot be explained by default risk differences, term structure effects, liquidity differences or information asymmetries between the swaps and the futures markets. Using a calibrated term structure model, the theoretical value of the convexity bias is found to be comparable to the empirically observed spread. This is evidence of mispricing of swap rates during the earlier years of the study, with a gradual elimination of that mispricing by incorporation of a convexity adjustment in swap pricing over time.
Download or read book On the Information in the Interest Rate Term Structure and Option Prices written by Frank De Jong and published by . This book was released on 2011 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cap and swaption prices contain information on interest rate volatilities and correlations. In this paper, we examine whether this information in cap and swaption prices is consistent with realized movements of the interest rate term structure. To extract an option-implied interest rate covariance matrix from cap and swaption prices, we use Libor market models or discrete-tenor string models as modeling framework. We propose a flexible parameterization of the interest rate covariance matrix, which cannot be generated by standard low-factor term structure models. The empirical analysis is based on weekly US data from 1995 to 1999. Our empirical results show that the option prices imply a covariance matrix of interest rates that is significantly different from the covariance matrix implied by realized interest rate changes. In particular, if one uses the latter covariance matrix to price caps and swaptions, one significantly underprices these options. We discuss and analyze several explanations for our findings.
Download or read book A Term Structure Model and the Pricing of Interest Rate Derivatives written by Klaus Sandmann and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling Term Structures of Swap Spreads written by Hua He and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Swap spreads, the interest rate differentials between the fixed rates on fixed-for-floating swap contracts and the yeilds-to-maturity on maturity-matched government bonds, define a market for one of the most actively transacted securities in the global fixed-income arena. A large universe of fixed-income securities including corporate bonds and mortgaged-back securities use interest rate swap spreads as a key benchmark for pricing and hedging. Swap spreads have received renewed attention since the Fall of 1998 when their volatile movements contributed in a significant way to the financial turmoil that led the US Fed to cut short-term interest rates by 75 basis points. In this paper we present new insights on how to analyze term structure of interest swap spreads. Specificaly, we focus on the determinants of swap spreads and show how quantities such as the spread of short-term LIBOR over GC-repo rates, the liquidity premium commended by government bond, and the risk premium required for holding long-term bonds/swaps jointly determine term structures of swap spreads.
Download or read book Interest Rate Swaps written by Robert Aubrey Smentkowski and published by . This book was released on 1985 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
