Technical Appendix To: From SA-CCR to RSA-CCR: Making SA-CCR Self-Consistent and Appropriately Risk-Sensitive by Cashflow Decomposition in a 3-Factor Gaussian Market Model

2019 ◽  
Author(s):  
Mourad Berrahoui ◽  
Othmane Islah ◽  
Chris Kenyon
Keyword(s):  
Market Model ◽  
Risk Sensitive ◽  
Self Consistent

scholarly journals A UNIFIED MARKET MODEL FOR SWAPTIONS AND CONSTANT MATURITY SWAPS

2021 ◽  
pp. 2150026
Author(s):  
CHYNG WEN TEE ◽  
JEROEN KERKHOF
Keyword(s):  
Interest Rate ◽  
Market Model ◽  
Approximation Formula ◽  
Internal Rate Of Return ◽  
Main Interest ◽  
Interest Rate Volatility ◽  
Self Consistent ◽  
Industry Practice ◽  
The Difference ◽  
Constant Maturity Swaps

Internal-rate-of-return (IRR) settled swaptions are the main interest rate volatility instruments in the European interest rate markets. Industry practice is to use an approximation formula to price IRR swaptions based on Black model, which is not arbitrage-free. We formulate a unified market model to incorporate both swaptions and constant maturity swaps (CMS) pricing under a single, self-consistent framework. We demonstrate that the model is able to calibrate to market quotes well, and is also able to efficiently price both IRR-settled and swap-settled swaptions, along with CMS products. We use the model to illustrate the difference in implied volatilities for IRR-settled payer and receiver swaptions, the pricing of zero-wide collars and in-the-money (ITM) swaptions, the implication on put-call parity, and the issue of negative vega. These findings offer important insights to the ongoing reform in the European swaption market.

The evolution of the Kuiper belt during the formation of the outer planets

1999 ◽  
Vol 173 ◽  
pp. 37-44
Author(s):  
M.D. Melita ◽  
A. Brunini
Keyword(s):  
Kuiper Belt ◽  
Outer Planets ◽  
Self Consistent ◽  
Planetary Bodies ◽  
Mass Depletion

AbstractA self-consistent study of the formation of planetary bodies beyond the orbit of Saturn and the evolution of Kuiper disks is carried out by means of an N-body code where accretion and gravitational encounters are considered. This investigation is focused on the aggregation of massive bodies in the outer planetary region and on the consequences of such process in the corresponding cometary belt. We study the link between the bombardment of massive bodies and mass depletion and eccentricity excitation.

THEORY AND SELF-CONSISTENT MODEL OF DUST-DRIVEN WINDS

2002 ◽  
Vol 5 ◽  
pp. 65-65
Author(s):  
S. Liberatore ◽  
J.-P.J. Lafon ◽  
N. Berruyer
Keyword(s):  
Consistent Model ◽  
Self Consistent

Étude de la molécule de méthane par la méthode du champ self-consistent

1959 ◽  
Vol 56 ◽  
pp. 250-256 ◽  
Author(s):  
Sylvette Besnainou ◽  
Monique Roux
Keyword(s):  
Self Consistent
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