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Over-the-Counter Interest Rate Derivatives

by Anatoli Kuprianov
"... Over-the-counter (OTC) interest rate derivatives include instruments such as forward rate agreements (FRAs), interest rate swaps, caps, floors, and collars. Broadly defined, a derivative instrument is a formal agreement between two parties specifying the exchange of cash payments based on changes in ..."
Abstract - Cited by 1 (0 self) - Add to MetaCart
Over-the-counter (OTC) interest rate derivatives include instruments such as forward rate agreements (FRAs), interest rate swaps, caps, floors, and collars. Broadly defined, a derivative instrument is a formal agreement between two parties specifying the exchange of cash payments based on changes

FOREWORD This

by N. A. Mitchell A. Post, Mercantile Exchange, Robert M. Spielman, Chase Manhattan Bank, N. A. Bruce Summers
"... edition of Instruments of the Money Market contains two chapters on subjects that were not included in the sixth edition: over-the-counter interest rate derivatives and clearing and settling in the money market. All of the other chapters have been either completely rewritten or thoroughly revised to ..."
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edition of Instruments of the Money Market contains two chapters on subjects that were not included in the sixth edition: over-the-counter interest rate derivatives and clearing and settling in the money market. All of the other chapters have been either completely rewritten or thoroughly revised

Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices

by Haitao Li, Feng Zhao - Review of Financial Studies , 2009
"... Based on a multivariate extension of the constrained locally polynomial estimator of At-Sahalia and Duarte (2003), we provide nonparametric estimates of the probability densities of LIBOR rates under forward martingale measures and the state-price densities (SPDs) implicit in interest rate cap price ..."
Abstract - Cited by 11 (1 self) - Add to MetaCart
and suggest that the unspanned factors could be partly driven by renancing activities in the mortgage markets. Over-the-counter interest rate derivatives, such as caps and swaptions, are among the most widely traded interest rate derivatives in the world. According to the Bank for International Settlements

A yield-factor model of interest rates

by Darrell Duffie - Math. Finance , 1996
"... This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a matur ..."
Abstract - Cited by 665 (23 self) - Add to MetaCart
This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a

An equilibrium characterization of the term structure.

by Oldrich Vasicek - J. Financial Econometrics , 1977
"... The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A.l) The instantaneous (spot) interest rate follows a diffusion process; (A.2) the price of a discount bond depends only on the spot rate over its term; and (A.3) the market is efficient. ..."
Abstract - Cited by 1041 (0 self) - Add to MetaCart
The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A.l) The instantaneous (spot) interest rate follows a diffusion process; (A.2) the price of a discount bond depends only on the spot rate over its term; and (A.3) the market is efficient

Over-the-Counter Derivatives Markets in Ireland — An Overview

by Aisling Reilly
"... The CBFSAI participated in the most recent survey of turnover in global over-the-counter (OTC) derivatives markets, which is co-ordinated by the Bank for International Settlements every three years. The survey results for Ireland show robust growth in OTC derivatives trading in the past few years. I ..."
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The CBFSAI participated in the most recent survey of turnover in global over-the-counter (OTC) derivatives markets, which is co-ordinated by the Bank for International Settlements every three years. The survey results for Ireland show robust growth in OTC derivatives trading in the past few years

Text Chunking using Transformation-Based Learning

by Lance A. Ramshaw, Mitchell P. Marcus , 1995
"... Eric Brill introduced transformation-based learning and showed that it can do part-ofspeech tagging with fairly high accuracy. The same method can be applied at a higher level of textual interpretation for locating chunks in the tagged text, including non-recursive "baseNP" chunks. For ..."
Abstract - Cited by 523 (0 self) - Add to MetaCart
. For this purpose, it is convenient to view chunking as a tagging problem by encoding the chunk structure in new tags attached to each word. In automatic tests using Treebank-derived data, this technique achieved recall and precision rates of roughly 92% for baseNP chunks and 88% for somewhat more complex chunks

A closed-form solution for options with stochastic volatility with applications to bond and currency options

by Steven L. Heston - Review of Financial Studies , 1993
"... I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond option ..."
Abstract - Cited by 1512 (6 self) - Add to MetaCart
I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond

The dynamic behavior of a data dissemination protocol for network programming at scale

by Jonathan W. Hui, David Culler - In Proceedings of the Second International Conferences on Embedded Network Sensor Systems (SenSys
"... To support network programming, we present Deluge, a reliable data dissemination protocol for propagating large data objects from one or more source nodes to many other nodes over a multihop, wireless sensor network. Deluge builds from prior work in density-aware, epidemic maintenance protocols. Usi ..."
Abstract - Cited by 492 (24 self) - Add to MetaCart
messages are limited to 18 % of all transmissions. At scale, the protocol exposes interesting propagation dynamics only hinted at by previous dissemination work. A simple model is also derived which describes the limits of data propagation in wireless networks. Finally, we argue that the rates obtained

On estimating the expected return on the market -- an exploratory investigation

by Robert C. Merton - JOURNAL OF FINANCIAL ECONOMICS , 1980
"... The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market retu ..."
Abstract - Cited by 490 (3 self) - Add to MetaCart
return adds the historical average realized excess market returns to the current observed interest rate. While this model explicitly reflects the dependence of the market return on the interest rate, it fails to account for the effect of changes in the level of market risk. Three models of equilibrium
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