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...

Ngày tải lên: 13/09/2015, 21:06

... 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...

Ngày tải lên: 22/03/2014, 17:20

... 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...

Ngày tải lên: 12/09/2015, 11:01

... An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting Michael Fleming, John Jackson, Ada Li, Asani Sarkar, and Patricia Zobel Federal Reserve Bank of ... the position of the Federal Reserve Bank of New York or the Federal Reserve System An Analysis of OTC Interest Rate Derivatives Transactions: Implications...

Ngày tải lên: 06/03/2014, 03:20

... of 20 International Finance Regulation of Interest Rate by the State Bank of Vietnam (SBV) FOREWORD We would like to present to you our study on the Regulation of Interest Rate by the State Bank ... many bankers at the conference have given voice to the regulation on Page of 20 International Finance Regulation of Interest Rate by...

Ngày tải lên: 15/03/2014, 01:20

... report having open positions in interest -rate swaps, interest -rate options, interest -rate forwards, and interest -rate futures In contrast, nearly half of the banks with total assets greater than ... usage and the extent of usage of interest -rate derivatives Brewer, Minton, and Moser (2000), we evaluate an equation relating the determinants of C&I lending and the impact o...

Ngày tải lên: 17/02/2014, 03:20

... −0.2 2∗ ∗ (3.02) 0.8 0∗ (2.48) −0.2 1∗ ∗ (3.34) 0.8 5∗ (2.52) −0.2 2∗ ∗ (3.60) 0.9 0∗ ∗ (2.81) −0.2 4∗ ∗ (3.43) 0.4 6∗ (1.91) −0.2 7∗ ∗ (4.73) 0.4 8∗ (1.80) −0.2 5∗ ∗ (4.17) 0.5 8∗ (2.21) −0.3 2∗ ∗ (4.57) ... 0.6 1∗ (2.31) −0.1 6∗ ∗ (3.06) −3.9 0∗ ∗ (2.62) −0.7 0∗ (1.69) −3.9 1∗ ∗ (2.68) −0.7 7∗ (1.93) −4.1 5∗ ∗ (...

Ngày tải lên: 17/02/2014, 03:20

... Turnover in the United States, April 2010 The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States, April 2010 Background The Federal Reserve ... floating interest rate and the cap rate Interest rate floor OTC option that pays the difference between the floor rate and a floating interest ra...

Ngày tải lên: 06/03/2014, 02:21

... represents the return on the market debt index Stone's adaptation of the CAPM suggests that interest rate impacts on returns may be positive or negative depending on the nature of the interest rate ... impact of these cash rate changes, by examining the average abnormal and the cumulative abnormal returns of the common stock prices of non-finan...

Ngày tải lên: 15/03/2014, 01:20

... Interest rate setting by universal banks and the transmission mechanism in the euro area Introduction The level of interest rates is one of the main determinants of savings and investment ... market interest rates with a comparable maturity Interest rate setting by universal banks and the transmission mechanism in the euro area...

Ngày tải lên: 15/03/2014, 02:20

... 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...

Ngày tải lên: 15/03/2014, 14:20

... 2009-07 Determinants of interest rate exposure * of Spanish banking industry Laura Ballester, Román Ferrer, Cristóbal González and Gloria M Soto** Abstract Interest rate risk represents one of the ... a large portion of their assets with deposits have less interest rate exposure The characterization of the interest rate exposure profile of banks in te...

Ngày tải lên: 22/03/2014, 23:20

Ngày tải lên: 30/03/2014, 01:20

... and cell membrane organization investigated by imaging fluorescence cross‐ correlation spectroscopy. " Biophys J 97(9): 2630‐9.          I    Investigation of Peptide Lipid Interaction by Fluorescence Correlation Spectroscopy ... provides further guidelines for the rational design of antimicrobial peptides.      VIII        Investigation of Peptide Lipid Interaction by Fluorescence Correla...

Ngày tải lên: 11/09/2015, 10:05