Now showing items 1-10 of 1549
Are interest rate options important for the assessment of interest rate risk?
(Banco Central do Brasil, 2009-08)
Fixed income options contain substantial information on the price of interest rate volatility risk. In this paper, we ask if those options will also provide information related to other moments of the objective distribution ...
Corporate interest rate risk management with derivatives in Australia: empirical results
(Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária, 2008)
Financial and insurance theories explain that large widely-held corporations manage corporate risks if doing so is costective to reduce frictional costs such as taxes, agency costs and financial distress costs. A large ...
Deviations from covered interest parity: the role played by fundamentals, financial and political turmoils and market frictions
Recent works for mature markets on covered interest parity suggest that deviations are mean reverting but persistent particularly after 2008 crisis (Du et al., 2018). Our study aims to contribute to the literature by ...
Interest rates calculation in certain ordinary annuities
(IOP Publishing, 2019)
Certain annuities are annuities whose payments occur on fixed dates; while a certain ordinary annuity is one in which payments are made at the end of each established period. The calculation of the interest rate, which ...
Deviations from the covered interest parity: The role of fundamentals, financial and political turmoil, and market frictions
(Lociedade Brasileira de Finanças, 2021)
A permutation information theory tour through different interest rate maturities: the Libor case
(The Royal Society, 2015-07)
This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japanese yen, during the period 2001–2015. The analysis is performed by means ...
Non-Parametric Pricing of Interest Rates OptionsNon-Parametric Pricing of Interest Rates Options
(Sociedade Brasileira de Econometria, 2012)
Modelado discreto de tasas de interés
En el mercado financiero se comercializan contratos en los cuáles uno podría encontrar desequilibrio y lograr un arbitraje. Las opciones son un tipo de contrato basado en un subyacente, como por ejemplo una tasa de interés. ...