Interest rate derivatives use in banking: Market pricing implications of cash flow hedges

Banking Market

A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models

The Journal of Computational Finance ◽

10.21314/jcf.2015.304 ◽

2015 ◽

Vol 18 (4) ◽

pp. 129-161 ◽

Cited By ~ 1

Author(s):

Radha Krishn Coonjobeharry ◽

Désiré Yannick Tangman ◽

Muddun Bhuruth

Keyword(s):

Interest Rate ◽

Integrodifferential Equation ◽

Partial Integrodifferential Equation

Short Rate Models ◽

Market Pricing of SFAS 133 Cash Flow Hedge Accounting and U.S. Multinationals' Derivatives Use

10.2139/ssrn.1266786 ◽

2008 ◽

Author(s):

Stephen D. Makar ◽

Li Wang ◽

Pervaiz Alam

Keyword(s):

Cash Flow ◽

Market Pricing ◽

Hedge Accounting ◽

Sfas 133

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

10.2139/ssrn.1502302 ◽

2009 ◽

Cited By ~ 3

Author(s):

Duy Minh Dang ◽

Christina Christara ◽

Kenneth R. Jackson ◽

Asif Lakhany

Keyword(s):

Interest Rate ◽

Pricing Framework

GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model

10.2139/ssrn.1549661 ◽

2010 ◽

Author(s):

Duy Minh Dang ◽

Christina Christara ◽

Kenneth R. Jackson

Keyword(s):

Interest Rate ◽

Foreign Exchange ◽

Foreign Exchange Volatility

Quantifying the Subsidies Hidden in the Cash-Flow Taxation of Fixed Bonds and Interest Rate Swaps

10.2139/ssrn.1641461 ◽

2010 ◽

Author(s):

Thomas J. Brennan

Keyword(s):

Interest Rate ◽

Cash Flow ◽

Interest Rate Swaps

Pricing Interest Rate Derivatives with Multilinear Interpolations and Transition Densities

10.2139/ssrn.1745249 ◽

2012 ◽

Cited By ~ 1

Author(s):

Hatem Ben Ameur ◽

Lotfi Karoui ◽

Walid Mnif

Keyword(s):

Interest Rate ◽

Transition Densities

A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives

10.2139/ssrn.2237718 ◽

2013 ◽

Author(s):

Duy Minh Dang ◽

Christina Christara ◽

Kenneth R. Jackson

Keyword(s):

Interest Rate ◽

Foreign Exchange ◽

Efficient Implementation ◽

Highly Efficient ◽

Gpu Clusters ◽

Path Dependent

Board Composition and Corporate Investment in Interest Rate Derivatives

10.2139/ssrn.260381 ◽

2001 ◽

Cited By ~ 2

Author(s):

Kenneth A. Borokhovich ◽

Kelly R. Brunarski ◽

Claire E. Crutchley ◽

Betty J. Simkins

Keyword(s):

Interest Rate ◽

Corporate Investment ◽

Board Composition ◽

Interest Rate Derivatives

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives

10.2139/ssrn.329521 ◽

2002 ◽

Author(s):

Liuren Wu ◽

Massoud Heidari

Keyword(s):

Interest Rate ◽

Interest Rates ◽

Term Structure ◽

Yield Curve ◽

Interest Rate Derivatives

A Quantum Mechanics for Interest Rate Derivatives Markets

10.2139/ssrn.3512577 ◽

2019 ◽

Author(s):

Alberto Bueno-Guerrero

Keyword(s):

Quantum Mechanics ◽

Interest Rate ◽

Derivatives Markets