Impact of FOMC Cycle on Market Uncertainty: Evidence From Interest Rate Derivatives

2020 ◽  
Author(s):  
Indradeap Chatterjee ◽  
Marina Di Giacinto ◽  
Claudio Tebaldi
Keyword(s):  
Interest Rate ◽  
Market Uncertainty ◽  
Interest Rate Derivatives

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

2009 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson ◽  
Asif Lakhany
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Pricing Framework

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

2010 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson
Keyword(s):  
Interest Rate ◽  
Foreign Exchange ◽  
Interest Rate Derivatives ◽  
Foreign Exchange Volatility

Pricing Interest Rate Derivatives with Multilinear Interpolations and Transition Densities

2012 ◽  
Author(s):  
Hatem Ben Ameur ◽  
Lotfi Karoui ◽  
Walid Mnif
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Transition Densities

Board Composition and Corporate Investment in Interest Rate Derivatives

2001 ◽  
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

Pricing Interest Rate Derivatives after Ibor Fallback

2019 ◽  
Author(s):  
Takahiro Hasegawa
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives
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