Path integral modelling of interest rates, options and commodities

... underlying can be commodities, interest rates, exchange rates, index or equities, bonds and so on The main types of derivatives are options, futures, forwards and swaps An interest rate derivative ... Chapter Introduction of Interest rate Derivatives § 1.1 Concepts in Interest rate and Rational pricing § 1.1.1 Interest rate and Libor Interest rates are used to de...

Ngày tải lên: 09/09/2015, 08:17

... Risk and Term Structure of Interest Rates • The risk structure of interest rates looks at bonds with the same term to maturity and different interest rates • The term structure of interest rates ... n The n-period interest rate equals the average of the one-period interest rates expected to occur over the n-period life of the...

Ngày tải lên: 05/01/2014, 16:56

... an area of macro-finance research that has examined the relationship between the term structure of interest rates and the economy in an interdisciplinary fashion The modeling of interest rates has ... movements farther out in the yield curve as well This survey considers three recent strands of macro-finance research that focus on the linkages between interest...

Ngày tải lên: 17/02/2014, 03:20

... The financial crisis and the pricing of interest rates in the Irish mortgage market: 2003-2011 Jean Goggin, Sarah Holton, Jane Kelly, Reamonn Lydon and Kieran McQuinn Abstract This paper examines ... examines the changing manner in which Irish financial institutions set their variable interest rates over the period 2003 - 2011 In particular,...

Ngày tải lên: 15/03/2014, 14:20

... level of income • Price-Level effect of an increase in the money supply is a rise in interest rates in response to the rise in the price level • The expected-inflation effect of an increase in the ... Money II Changes in the Demand for Money Changes in the Supply of Money Money Supply and Interest Rates I • Income effect of an increase in the money supply is...

Ngày tải lên: 05/01/2014, 16:56

... Z Z δJ (x) δJ (x′ ) J,K=0 i =− δ4 x − x′ m + − Λ2 |0 = (7) Path Integral Quantization Of Self- Interacting Scalar Field With Higher Derivatives ˙ Since we have introduced a source for φ, it is ... Path Integral Quantization Of Self- Interacting Scalar Field With Higher Derivatives ACKNOWLEDGMENT The author would like to thank Prof Nguyen Suan Han for...

Ngày tải lên: 13/02/2014, 04:20

... exchange rate The expression for PPP can then be written (in log-form) as vt = pt − pt* , (1) where pt is the log of the domestic price, pt* is the log of the foreign price, and vt is the log of the ... proxy for the annual interest rate, we therefore need to multiply the quarterly interest rate by four Hence, if we had used an annual interest rate,...

Ngày tải lên: 15/02/2014, 05:20

... quantity of funds and the rise and fall of interest rates, in turn, affect the condition of the economy -the Gross National Product, the employment of resources, the level of income and the general ... factories And, of course, governments borrow to cover the excess of their expenditures over their income from the collection of taxes and other fees While...

Ngày tải lên: 15/03/2014, 10:20

... failure mechanisms and their interactions in composite laminates 1.6 Structure of the thesis In the rest of the thesis, different numerical methods for the modelling of damage and failure of composites ... function matrix of a cohesive element Nedge number of edges in an element NfDOFD number of internal floating DoF of an element xx NfDOFj number of shared floa...

Ngày tải lên: 10/09/2015, 09:28

... Effect of antioxidants on free radicals in food and biological system Free radicals initiate oxidation of lipids in food systems and leads to the development of rancidity, protein damage, and oxidation ... superoxide, hydroxyl, and peroxyl radicals, and nitric oxide produced from cell or biochemical reaction systems The function of antioxidants is to intercept...

Ngày tải lên: 13/09/2015, 21:10

... systematic pricing errors, namely underpricing of short-term deep OTM options, overpricing of long-term deep OTM options, and underpricing of deep ITM options This is consistent with our diagnostics of ... risk) with stochastic interest rates; (ii) the SV model of stock returns with non -stochastic risk-free interest rates; (iii) the stochastic interest...

Ngày tải lên: 21/12/2013, 01:20

... would allow the holder to profit if rates decline because as 5-year interest rates fall, so does the level of FVX As interest rates decline and the level of the 5-year underlying declines, the value ... throughout the trading day by Telerate Systems Incorporated, a leading international supplier of financial services These values are based on current market data fr...

Ngày tải lên: 06/03/2014, 14:20