scholarly journals A Unified Market Model for Swaptions and Constant Maturity Swaps

2019 ◽  
Author(s):  
Chyng Wen Tee ◽  
Jeroen Kerkhof
Keyword(s):  
Market Model ◽  
Constant Maturity Swaps

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.

A multiple-labor market model of occupational achievement.

1977 ◽  
Author(s):  
Linda S. Gottfredson
Keyword(s):  
Labor Market ◽  
Market Model ◽  
Occupational Achievement

Contract institutions in the Russian economy: The sphere of state, municipal, and regulated procurement

2017 ◽  
pp. 93-110 ◽  
Author(s):  
O. Anchishkina
Keyword(s):  
Economic Growth ◽  
Theoretical Model ◽  
Market Structure ◽  
Market Equilibrium ◽  
Statistical Evidence ◽  
Market Model ◽  
Market Behavior ◽  
Database Analysis ◽  
Russian Economy ◽  
Contracting Model

The article synthesizes information on database analysis of state, municipal, and regulated procurement through which Russian contract institutions and the market model are investigated. The inherent uncertainty of quantity indicators on contracting activities and process is identified and explained. The article provides statistical evidence for heterogeneous market structure in state and municipal procurement, and big player’s dominance. A theoretical model for market behavior, noncooperative competition and collusion is proposed, through which the major trends are explained. The intrinsic flaws and failure of the current contracting model are revealed and described. This ineffectiveness is regarded to be not a limitation, but a challenge to be met. If responded to, drivers for economic growth and market equilibrium will be switched on.

DEVELOPMENT OF A SYSTEM FOR ASSESSING THE EFFECTIVENESS OF THE USE OF STATE RESOURCES TO CREATE A NATIONAL INNOVATION SYSTEM AS A FACTOR IN INCREASING THE STATE'S ECONOMIC SECURITY

2020 ◽  
pp. 185-197
Author(s):  
Anatoliy B. Yaroshchuk ◽  
Keyword(s):  
Mixed Model ◽  
System Analysis ◽  
Innovation System ◽  
Developed Countries ◽  
Economic Security ◽  
Innovation Systems ◽  
National Innovation System ◽  
Market Model ◽  
National Innovation Systems ◽  
Public Resources

The article considers the current and future systems for assessing the effectiveness of the use of state resources to create a national innovation system as a factor in improving the economic security of the state, the author develops a methodological approach to assessing the effectiveness of the use of state resources to create a national innovation system. The cyclical development of the world economy in the conditions of globalization is connected, first of all, with the change of technological structures, as well as with the provision of competitiveness for all levels of economic management. In the domestic and foreign economic literature, there is an idea of the national innovation system, which covers all types of economic objects in the country with innovations, increasing their competitiveness, and, thus, the national economy as a whole, and also directly affects the increase in the level of economic security of the country. Most developed countries and many developing countries have already established or are in the process of establishing their national innovation systems, built either on the basis of models already known and tested in other countries, or new, unique models for building innovation systems. The differences between these models of creation of national innovation systems of different countries are, both in the levels of economic objects, which are the basis of innovative breakthrough, and in the degree of use of public resources: "centralized model", based on public resources, or "market model", or a mixed model of "public-private partnership". These issues are the basis for consideration of the presented article. The methodological basis for writing the article was modern scientific research methods, including: dialectical method, method of system analysis, methods of analogy, comparative analysis, expert methods, structural-functional and normative approaches.

REFORMATTING A SPATIAL MANAGEMENT SYSTEM FOR NATURAL RESOURCE ASSETS

2018 ◽  
pp. 37-42 ◽  
Author(s):  
Igor Bystryakov ◽  
Victoriia Mykytenko
Keyword(s):  
Sustainable Development ◽  
Economic Integration ◽  
Analytical Approach ◽  
Market Model ◽  
Economic Space ◽  
Interregional Interaction ◽  
Spatial Management ◽  
Definition Of ◽  
Social Market ◽  
Industrial Economic

The conceptual and analytical approach to the definition of an integrative base of sustainable development of territories is proposed, which is based on the idea of construction of economic space and creates real conditions for the establishment and deployment of territorial economic integration. It is proved that the effect of the realization of the economic meta space of the state is influenced by the factor of reorganization of the regional map by cascading format of consolidation of industrial-economic, inter-sectoral and interregional interaction. It is recognized that it is expedient to take into account European economic-statistical principles when creating ten territorial economic and economic districts, the format and scale of which will correspond to the key principles of the liberal-social market model of spatial development.

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