Spike Modeling for Interest Rate Derivatives with an Application to SOFR Caplets

SSRN Electronic Journal ◽

10.2139/ssrn.3700446 ◽

2020 ◽

Author(s):

Leif B.G. Andersen ◽

Dominique R. A. Bang

Keyword(s):

Interest Rate ◽

Interest Rate Derivatives

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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 ◽

Author(s):

Radha Krishn Coonjobeharry ◽

Désiré Yannick Tangman ◽

Muddun Bhuruth

Keyword(s):

Interest Rate ◽

Integrodifferential Equation ◽

Interest Rate Derivatives ◽

Short Rate Models ◽

Partial Integrodifferential Equation

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A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

SSRN Electronic Journal ◽

10.2139/ssrn.1502302 ◽

2009 ◽

Author(s):

Duy Minh Dang ◽

Christina Christara ◽

Kenneth R. Jackson ◽

Asif Lakhany

Keyword(s):

Interest Rate ◽

Interest Rate Derivatives ◽

Pricing Framework

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

SSRN Electronic Journal ◽

10.2139/ssrn.1549661 ◽

2010 ◽

Author(s):

Duy Minh Dang ◽

Christina Christara ◽

Kenneth R. Jackson

Keyword(s):

Interest Rate ◽

Foreign Exchange ◽

Interest Rate Derivatives ◽

Foreign Exchange Volatility

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Pricing Interest Rate Derivatives with Multilinear Interpolations and Transition Densities

SSRN Electronic Journal ◽

10.2139/ssrn.1745249 ◽

2012 ◽

Author(s):

Hatem Ben Ameur ◽

Lotfi Karoui ◽

Walid Mnif

Keyword(s):

Interest Rate ◽

Interest Rate Derivatives ◽

Transition Densities

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

SSRN Electronic Journal ◽

10.2139/ssrn.2237718 ◽

2013 ◽

Author(s):

Duy Minh Dang ◽

Christina Christara ◽

Kenneth R. Jackson

Keyword(s):

Interest Rate ◽

Foreign Exchange ◽

Efficient Implementation ◽

Interest Rate Derivatives ◽

Highly Efficient ◽

Gpu Clusters ◽

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Board Composition and Corporate Investment in Interest Rate Derivatives

SSRN Electronic Journal ◽

10.2139/ssrn.260381 ◽

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

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

SSRN Electronic Journal ◽

10.2139/ssrn.329521 ◽

2002 ◽

Author(s):

Liuren Wu ◽

Massoud Heidari

Keyword(s):

Interest Rate ◽

Interest Rates ◽

Term Structure ◽

Yield Curve ◽

Interest Rate Derivatives

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A Quantum Mechanics for Interest Rate Derivatives Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3512577 ◽

2019 ◽

Author(s):

Alberto Bueno-Guerrero

Keyword(s):

Quantum Mechanics ◽

Interest Rate ◽

Interest Rate Derivatives ◽

Derivatives Markets

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Pricing Interest Rate Derivatives after Ibor Fallback

SSRN Electronic Journal ◽

10.2139/ssrn.3677012 ◽

2019 ◽

Author(s):

Takahiro Hasegawa

Keyword(s):

Interest Rate ◽

Interest Rate Derivatives

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The Relation Between Interest Rate Derivatives, Debt Maturity Structure, and Exposure in the Lodging Industry

Journal of Hospitality & Tourism Research ◽

10.1177/1096348009338531 ◽

2009 ◽

Vol 33 (3) ◽

pp. 391-416 ◽

Author(s):

Amrik Singh

Keyword(s):

Interest Rate ◽

Debt Maturity ◽

Lodging Industry ◽

Interest Rate Derivatives ◽

Debt Maturity Structure ◽

Maturity Structure

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