منابع مشابه
Pricing variance swaps under stochastic volatility and stochastic interest rate
In this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic volatility and stochastic interest rate. In particular, our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, whereas the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) model. We first extend the framework of [119] by ...
متن کاملInterest Rate Swaps: a Managerial Compensation Approach
The market for interest rate swaps has grown consistently since its inception. Swaps involve “swapping” fixed interest rate debt for variable rate debt. We explain this growth using a game theoretic model. We focus on managerial and owner compensation differences under swaps and open market restructuring. We conclude that swaps occur because the swap market incorporates information about the fi...
متن کاملA Formula for Interest Rate Swaps Valuation under Counterparty Risk in presence of Netting Agreements
In this document we show how to handle counterparty risk for Interest Rate Swaps (IRS). First we establish a general formula, showing that counterparty risk adds one level of optionality to the contract. Then we introduce the default probabilities using a deterministic intensity model where the default time is modeled as the first jump of a time-inhomogeneous Poisson process. We consider Credit...
متن کاملAre Interest Rate Swaps Used to Manage Banks’ Earnings?
Previous research has shown that loan loss provisions and security gains and losses are used to manage banks’ net income. However, these income components are reported below banks largest operating component, net interest income (NII). This study extends the literature by examining whether banks exploit the accounting permitted under past and current hedge accounting standards to manage NII by ...
متن کاملCVaR hedging under stochastic interest rate
In this paper we assess the partial hedging problems by formulating hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio loss under stochastic interest rate environment. The combination of stochastic interest and CVaR hedging method makes the valuing approach more complex than the existing model with constant interest rate. We take up two issues in searching the op...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2004
ISSN: 0377-0427
DOI: 10.1016/s0377-0427(03)00490-4