Interest rate options
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. This paper proposes a much faster and more accurate valuation method based on partial...
More Interest rate options articles
French life insurers have to pay back their customers at the drop of a hat – an exposure that rises in tandem with interest rates, as customers seek better returns elsewhere. But with the industry...
Looking both ways
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.