Exotic interest rate options in quantum finance
Exotic interest rate options in quantum finance
... strike price K § 1.4 Interest rate derivatives § 1.4.6 15 Interest rate caps and floors An interest rate cap is a popular interest rate options offered by financial institutions in the over-the-counter ... (1.1) These three ways of defining interest rates are, in principle, equivalent in pricing any financial instrument § 1.2 Interest rates § 1.2.2 Forward rates The f...
The Role of Interest Rate Swaps in Corporate Finance doc
... explains the basic mechanics of interest rate swaps and examines these rationales in more detail FUNDAMENTALS OF INTEREST RATE SWAPS The most common type of interest rate swap is the fixed/floating ... Fixed/Floating Swap The quoted price of an interest rate swap consists of two different interest rates In the case of a fixed/floating swap, the qu...
Investigation of interest rate derivatives by quantum finance
... dissertation shows an integrated picture on the subject of applying Quantum Finance to the study of interest rate derivatives Chapter Interest Rate and Interest Rate Derivatives § 1.1 Simple Fixed ... modelling forward interest rates using the formalism of quantum field theory In the framework of Quantum Finance , I present in this dissertation, the investig...
Limits on Interest Rate Rules in the ISModel potx
... lower interest rate with higher in ation Instead, he argued that the nominal interest rate had to rise one-for-one with sustained in ation and monetary expansion due to the natural real rate of interest ... specification that links the change in consumption to the real interest rate, not one that links the level of consumption to the real interest rate McCall...
Interest Rate Options - A discussion of how investors can help control interest rate exposure and make the most of the interest rate market pdf
... 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...
Interest-Rate Risk in the Indian Banking System docx
... about the banking system In India, large reserve requirements imply that a policy of stretching out the yield curve innately involves forcing banks to increase the maturity of their assets Internationally, ... banks and the Indian banking system as a whole? • Are banks in India homogeneous in their interest-rate risk exposure, or is there strong cross-sectional het...
INTEREST RATE RISK IN THE BANKING BOOK ppt
... supervising interest rate risk in the banking book In broad terms, the principles address: • • • • the role of the Board and senior management in overseeing interest rate risk management; the need ... managing interest rate risk, and (ii) assess the extent of interest rate risk being run by an ADI The principles set out the essential features o...
THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx
... Size of the interest rate shock; k = bank’s leverage ratio (L/A) The bank’s manager is supposed to wish to determine the optimal number of put options to buy to insulate the bank against rising interest ... change in interest rates on the balance sheet is assumed to be equal to the change in the interest rate on the bond underlying the option...
DETERMINANTS OF INTEREST RATE SPREADS IN BELIZE ppt
... rate spreads and margins vary among authors and offer no consensus on the best measure for interest rate spreads By employing the wide interest margin definition in the analysis of the interest rate ... been two main determinants of interest rate spreads in Belize Other factors which affect the spread include increased concentration of deposits, the increas...
Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies ppt
... paper is preliminary Materials published in this series may be subject to further publication Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies Balázs ... EVENT SIZE W PRE- AND POST-EVENT WINDOW 10 15 20 30 40 50 60 DIRECTION: EXCHANGE RATE STRENGTHENING Slovakia DAYS DAYS 10 DAYS 20/30 DAYS wind smooth wind smooth...
Interest Rate Policy in Egypt - Its Role in Stabilization and Adjustment pdf
... discounted A Interest Rate and Business Investment The first step in examining how higher interestrates may influence business investmentdecisions and performances is the understandingof firms' ... rate of inflation,measured by WPI in the U.S Rate by ratemeasured LondonInterBankBorrowing r* =foreign nominalinterest (LIBOR); x - domestic rate of inflationmeasured by WPI...
INTEREST RATE RISK IN THE BANKING BOOK* pdf
... presents the conclusions (3) “Principles for the management and supervision of interest rate risk (4) The banking book includes all the instruments not included in the trading book The trading book ... estimate the impacts of a 200 basis points (b.p.) change in the interest rate on net worth and on net income The qualitative nature of the prudential approach...
Central Bank Interest-Rate Control in a Cashless, Arrow-Debreu economy: a comment on Wallace pptx
... Central Bank Interest-Rate Control in a Cashless, Arrow-Debreu economy: a comment on Wallace Colin Rogers School of Economics University of Adelaide colin.rogers@adelaide.edu.au Abstract: Wallace ... theory Contrary to Wallace, the Arrow-Debreu model is incapable of shedding any light on monetary economics Part III briefly outlines Wallace s analysis of the r...
WORKING PAPER SERIES NO. 351 / APRIL 2004: INTEREST RATE DETERMINATION IN THE INTERBANK MARKET pot
... Bank working paper series 40 ECB Working Paper Series No 351 April 2004 Abstract The purpose of this paper is to study the determinants of equilibrium in the market for daily funds We use the ... traded and the use of standing facilities also increase at the end of the reserve maintenance period also in line with the theory ECB Working Paper Series...