interest rate derivatives
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A Quantum Mechanics for interest rate derivatives markets

2022 ◽  
Vol 155 ◽  
pp. 111726
Author(s):  
Alberto Bueno-Guerrero
Keyword(s):  
Quantum Mechanics ◽  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Derivatives Markets

Interest Rate Derivatives Modeling and Risk Management in the HJM Framework

2021 ◽  
pp. 409-471
Author(s):  
Donald R. Chambers ◽  
Qin Lu
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Interest Rate Derivatives

Interest rate derivatives

2021 ◽  
pp. 389-413
Author(s):  
Manolis G. Kavussanos ◽  
Dimitris A. Tsouknidis ◽  
Ilias D. Visvikis
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives

Fast direct calibration of interest rate derivatives pricing models

2020 ◽  
Author(s):  
Luca Sabbioni ◽  
Marcello Restelli ◽  
Andrea Prampolini
Keyword(s):  
Interest Rate ◽  
Pricing Models ◽  
Derivatives Pricing ◽  
Interest Rate Derivatives

Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives

2020 ◽  
Vol 40 (5) ◽  
pp. 749-760
Author(s):  
Alex Frino ◽  
Michael Garcia ◽  
Zeyang Zhou
Keyword(s):  
Interest Rate ◽  
Algorithmic Trading ◽  
Interest Rate Derivatives ◽  
Speed Of Adjustment ◽  
New Information

Interest Rate Derivatives

2020 ◽  
pp. 43-75
Author(s):  
Jiří Witzany
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives

Interest rate derivatives and risk exposure: Evidence from the life insurance industry

2020 ◽  
Vol 51 ◽  
pp. 100978
Author(s):  
Hui-Hsuan Liu ◽  
Ariana Chang ◽  
Yung-Ming Shiu
Keyword(s):  
Interest Rate ◽  
Life Insurance ◽  
Insurance Industry ◽  
Risk Exposure ◽  
Interest Rate Derivatives ◽  
Life Insurance Industry

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

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

2020 ◽  
Author(s):  
Leif B.G. Andersen ◽  
Dominique R. A. Bang
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives
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