Options of Interest: Temporal Abstraction with Interest Functions

Hedging~interest Rate Risk with Options on Average Interest Rates

MARCH 1995 Hedging interest rate risk has become one of the most common and important types of a financial manager's risk management activities. A classic example is for a firm to hedge its cost of funds by using an interest rate cap to place an upper bound on its borrowing costs. The hedge typically consists of a sequence of individual call options on the interest rate, with option expiration ...

Pricing Interest Rate Options

We price moneyness-based portfolio returns on the LIBOR futures options in an Intertemporal CAPM framework as an extension of the pricing kernel approach. In contrast to existing studies for pricing index options, our results show that only the real interest rate is significant in the pricing kernel for LIBOR options. The polynomial pricing kernel with linear interpretation outperforms the iso-...

Making Interest-free Banking System More Efficient with Regards to Interest Rate

Selective spatio-temporal interest points

Recent progress in the field of human action recognition points towards the use of Spatio-Temporal Interest Points (STIPs) for local descriptor-based recognition strategies. In this paper, we present a novel approach for robust and selective STIP detection, by applying surround suppression combined with local and temporal constraints. This new method is significantly different from existing STI...

Over the Counter Interest Rate Options

This paper provides a survey of the structure and use of the over the counter options market, focussing on interest rate options. It is based in part on interviews with eight market makers and one broker from the OTC interest rate options market in London. Options provide information about the uncertainty and probability distribution of market participants’ expectations for various asset prices...