Tracking the Libor Rate

2010 ◽  
Author(s):  
Rosa M. Abrantes-Metz ◽  
Sofia Berto Villas-Boas
Keyword(s):  
Libor Rate

Calculating Quantitative Integrity and Secrecy for Imperative Programs

2015 ◽  
Vol 6 (2) ◽  
pp. 23-46
Author(s):  
Tom Chothia ◽  
Chris Novakovic ◽  
Rajiv Ranjan Singh
Keyword(s):  
Mutual Information ◽  
Information Flow ◽  
Quantitative Information ◽  
Error Correcting Codes ◽  
Conditional Mutual Information ◽  
Program Integrity ◽  
Data Contamination ◽  
Definition Of ◽  
Quantitative Information Flow ◽  
Libor Rate

This paper presents a framework for calculating measures of data integrity for programs in a small imperative language. The authors develop a Markov chain semantics for their language which calculates Clarkson and Schneider's definitions of data contamination, data suppression, program suppression and program transmission. The authors then propose their own definition of program integrity for probabilistic specifications. These definitions are based on conditional mutual information and entropy; they present a result relating them to mutual information, which can be calculated by a number of existing tools. The authors extend a quantitative information flow tool (CH-IMP) to calculate these measures of integrity and demonstrate this tool with examples including error correcting codes, the Dining Cryptographers protocol and the attempts by a number of banks to influence the Libor rate.

LIBOR Rate

2010 ◽  
Author(s):  
Sergei Traven
Keyword(s):  
Libor Rate

Higher private financing could boost mining investment

2018 ◽  
Keyword(s):  
Private Equity ◽  
Equity Markets ◽  
Equity Issuance ◽  
Content Type ◽  
Mining Investment ◽  
Major Shift ◽  
The Cost ◽  
Private Financing ◽  
Libor Rate ◽  
Industrial Metals

Subject Private mining finance. Significance The financing of mining and exploration projects is undergoing a major shift. Large miners have traditionally accessed affordable debt while smaller explorers and developers relied on equity markets, buoyed by retail interest, particularly in Canada and Australia. Additional capital has been provided by royalties, metal offtake, streaming or farm-ins by majors, whereby an operator buys or acquires an interest in another operator’s lease. Despite higher prices in the last two years, capital remains scarce, especially for newcomers. However, private equity is developing knowledge of this volatile and technical sector. Impacts The three-month Libor rate has doubled in the last twelve months; this will significantly increase the cost of financing new projects. Arbitrageurs will try to profit from equity issuance diluting existing shareholders ownership; convertible debentures will be a focus. In late 2017 Glencore launched a major royalty company specialising in industrial metals, the largest to specialise in this.

THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM

2014 ◽  
Vol 17 (01) ◽  
pp. 1450001 ◽  
Author(s):  
CHRISTOPHER BEVERIDGE ◽  
MARK JOSHI
Keyword(s):  
Brownian Bridge ◽  
Market Model ◽  
Efficient Computation ◽  
Libor Market Model ◽  
Bridge Type ◽  
Libor Rate ◽  
Swap Rates

We study the simulation of range accrual coupons when valuing callable range accruals in the displaced-diffusion LIBOR market model (DDLMM). We introduce a number of new improvements that lead to significant efficiency improvements, and explain how to apply the adjoint-improved pathwise method to calculate deltas and vegas under the new improvements, which was not previously possible for callable range accruals. One new improvement is based on using a Brownian-bridge-type approach for simulating the range accrual coupons. We consider a variety of examples, including when the reference rate is a LIBOR rate, when it is a spread between swap rates, and when the multiplier for the range accrual coupon is stochastic.

Tracking the Libor rate

2011 ◽  
Vol 18 (10) ◽  
pp. 893-899 ◽  
Author(s):  
Rosa M. Abrantes-Metz ◽  
Sofia B. Villas-Boas ◽  
George Judge
Keyword(s):  
Libor Rate

A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch

2016 ◽  
Vol 249 (1) ◽  
pp. 238-244 ◽  
Author(s):  
Viviana Fanelli
Keyword(s):  
Credit Crunch ◽  
Libor Rate

AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL

2019 ◽  
Vol 22 (08) ◽  
pp. 1950042
Author(s):  
MARKUS HESS
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Jump Diffusion ◽  
Rate Model ◽  
Single Curve ◽  
Curve Model ◽  
Interest Rate Model ◽  
Libor Rate ◽  
Future Information

We propose a multi-curve model involving interest rates and spreads which are modeled by arithmetic martingale processes being larger than some arbitrarily chosen constant. Under our mean-reverting pure-jump approach, we derive tractable martingale representations for the OIS rate, the spread, as well as the LIBOR rate, and provide analytical caplet price formulae. In a second part, we introduce an extended jump-diffusion version of our model and investigate hedging and the computation of Greeks under this new specification. As a by-product, we infer the related arithmetic pure-jump single-curve model. We finally consider the modeling of future information in multi-curve interest rate markets by enlarged filtrations and deduce the related OIS and LIBOR rate representations as well as the corresponding information premium.

scholarly journals Option-Implied Libor Rate Expectations across Currencies

2016 ◽  
Vol 2016 (1182) ◽  
pp. 1-44
Author(s):  
Nick Gebbia ◽  
Keyword(s):  
Libor Rate
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