Rise and Fall of Interest Rate Futures in Indian Derivative Market

2015 ◽  
Vol 5 (1) ◽  
Author(s):  
Pradiptarathi Panda ◽  
M. Thiripalraju
Keyword(s):  
Interest Rate ◽  
International Market ◽  
Over The Counter ◽  
Interest Rate Derivatives ◽  
The Third ◽  
The Past ◽  
Interest Rate Futures ◽  
Derivative Market ◽  
Derivative Products ◽  
Interest Rate Derivative

Interest rate derivatives are the most traded and widely accepted derivative instrument in the international market. But this product is not popular in Indian derivative market. In 1999, the Over the Counter (OTC) interest rate derivative products were introduced and successful in terms of volumes. The Indian financial market introduced exchange traded interest rate derivatives in the year 2003, 2009 and 2014. While the product failed twice, in the third time (in 2014) the initial volumes are sharply declining in three exchanges viz. MCX-SX, NSE and BSE. In this backdrop, this study attempts to analyse the past, present and future of interest rate futures in Indian derivative market using the volumes, values and open interest of Interest rate derivatives for three exchanges.

Derivatives Markets

2019 ◽  
pp. 151-166
Author(s):  
Halil Kiymaz ◽  
Koray D. Simsek
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Credit Derivatives ◽  
Forward Rate ◽  
Fixed Income ◽  
Over The Counter ◽  
Interest Rate Options ◽  
Interest Rate Derivatives ◽  
Fixed Income Derivatives ◽  
Derivatives Markets

Interest rate derivatives markets have enjoyed substantial growth since the late 1990s. This chapter discusses the development of these markets since 2000 and introduces the most popular interest rate derivative instruments. Although forward rate agreements and interest rate swaps are important examples of over-the-counter (OTC) products, futures on interest rates and bonds are innovations of organized exchanges. Both OTC interest rate options and exchange-traded options on interest rate futures are discussed to illustrate an overlapping area of both types of derivatives markets. Participants in debt markets are also exposed to both interest rate and credit risk. To mitigate the latter risk, the OTC fixed income derivatives markets provide credit default swaps (CDSs). As credit derivatives are also a subset of fixed income derivatives, CDSs are discussed further.

Pricing interest rate derivatives with model risk

2015 ◽  
Vol 02 (01) ◽  
pp. 1550003 ◽  
Author(s):  
Satoshi Hosokawa ◽  
Koichi Matsumoto
Keyword(s):  
Interest Rate ◽  
Rate Process ◽  
Rate Model ◽  
Model Risk ◽  
Interest Rate Derivatives ◽  
Volatility Model ◽  
Trinomial Model ◽  
Interest Rate Model ◽  
Interest Rate Derivative

This paper studies an interest rate derivative when there is the model risk in an interest rate model. We consider a mean reverting interest rate process whose volatility model is not known. Most of prices of interest rate derivatives cannot be determined uniquely, based on this interest rate model. We study the price bounds of a derivative and propose how to calculate the price bounds by a trinomial model. Further, we analyze the model risk of derivatives and their portfolios numerically.

scholarly journals Apreçamento de Opções Asiáticas de Taxa de Juros através de um Modelo HJM de Três Fatores

2010 ◽  
Vol 8 (1) ◽  
pp. 9
Author(s):  
Claudio Henrique Barbedo ◽  
Octávio Bessada Lion ◽  
Jose Valentim Machado Vicente
Keyword(s):  
Interest Rate ◽  
Standard Procedure ◽  
Over The Counter ◽  
Interest Rate Derivatives ◽  
Market Participants ◽  
Hjm Model ◽  
Derivative Instruments ◽  
Pricing Error ◽  
Risk Managers

Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable information from derivative instruments. We use a standard procedure to implement the HJM model and to price IDI options. We intend to assess the importance of the principal components of pricing and interest rate hedging derivatives in Brazil, one of the major emerging markets. Our results indicate that the HJM model consistently underprices IDI options traded in the over-the-counter market while it overprices long-term options traded in the exchange studied. We also find a direct relationship between time to maturity and pricing error and a negative relation with moneyness.

scholarly journals BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL

2019 ◽  
Vol 22 (05) ◽  
pp. 1950027
Author(s):  
ROBERTO BAVIERA
Keyword(s):  
Interest Rate ◽  
Derivative Securities ◽  
Rate Model ◽  
Elementary Model ◽  
Interest Rate Derivatives ◽  
Proposed Model ◽  
Interest Rate Model ◽  
Interest Rate Derivative ◽  
Curve Extension ◽  
Two Parameter

We propose an elementary model in multi-curve setting that allows to price with simple exact closed formulas European swaptions. Swaptions can be both physical delivery and cash-settled ones. The proposed model is very parsimonious: it is a three-parameter multi-curve extension of the two-parameter J. Hull & A. White (1990) [Pricing interest-rate-derivative securities. Review of Financial Studies 3(4), 573–592] model. The model allows also to obtain simple formulas for all other plain vanilla Interest Rate derivatives and convexity adjustments. Calibration issues are discussed in detail.

Al-Rasm al-ʿUthmānī: Towards Correct Pronunciation and the Preclusion of Ambiguity

2011 ◽  
Vol 13 (2) ◽  
pp. 201-171
Author(s):  
Nāṣir Al-Dīn Abū Khaḍīr
Keyword(s):  
Specific Pattern ◽  
Writing Style ◽  
The Third ◽  
The Past ◽  
Different Ages ◽  
Correct Pronunciation ◽  
The One ◽  
The Mind

The ʿUthmānic way of writing (al-rasm al-ʿUthmānī) is a science that specialises in the writing of Qur'anic words in accordance with a specific ‘pattern’. It follows the writing style of the Companions at the time of the third caliph, ʿUthmān b. ʿAffān, and was attributed to ʿUthmān on the basis that he was the one who ordered the collection and copying of the Qur'an into the actual muṣḥaf. This article aims to expound on the two fundamental functions of al-rasm al-ʿUthmānī: that of paying regard to the ‘correct’ pronunciation of the words in the muṣḥaf, and the pursuit of the preclusion of ambiguity which may arise in the mind of the reader and his auditor. There is a further practical aim for this study: to show the connection between modern orthography and the ʿUthmānic rasm in order that we, nowadays, are thereby able to overcome the problems faced by calligraphers and writers of the past in their different ages and cultures.

Lot's Offer of his Daughters to his People in the Torah and the Qur'an: A Comparative Study in Two Parts (Part One)

2016 ◽  
Vol 18 (3) ◽  
pp. 161-224
Author(s):  
ʿĀʾiḍ B. Sad Al-Dawsarī
Keyword(s):  
Comparative Study ◽  
Comparative Studies ◽  
The Third ◽  
The Past ◽  
The Status ◽  
Moral Problems ◽  
Moral Dimensions ◽  
Similarities And Differences

The story of Lot is one of many shared by the Qur'an and the Torah, and Lot's offer of his two daughters to his people is presented in a similar way in the two books. This article compares the status of Lot in the Qur'an and Torah, and explores the moral dimensions of his character, and what scholars of the two religions make of this story. The significance of the episodes in which Lot offers his daughters to his people lies in the similarities and differences of the accounts given in the two books and the fact that, in both the past and the present, this story has presented moral problems and criticism has been leveled at Lot. Context is crucial in understanding this story, and exploration of the ways in which Lot and his people are presented is also useful in terms of comparative studies of the two scriptures. This article is divided into three sections: the first explores the depiction of Lot in the two texts, the second explores his moral limitations, and the third discusses the interpretations of various exegetes and scholars of the two books. Although there are similarities between the Qur'anic and Talmudic accounts of this episode, it is read differently by scholars from the two religions because of the different contexts of the respective accounts.

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