Technical papers/Interest Rate Derivatives
General short-rate analytics
Published online only
Alexandre Antonov and Michael Spector present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions...
Original headline:
Alexandre Antonov and Michael Spector present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions...
Original headline:
A dislocation between options on constant maturity swap rates and spreads in 2009 led to a static arbitrage opportunity. Here, Paul McCloud shows how this can be detected, and how a copula-based model...
Worried about regulation?
Read in-depth analysis of top regulatory issues today!
Find the information you need in articles from across Risk.net on Basel III, the Dodd-Frank Act, and Solvency II.
More Technical papers/Interest Rate Derivatives articles
A Libor market model with a stochastic basis
Original headline:
The advent of the financial crisis made the previously negligible bases between different overnight interest rates explode. Fabio Mercurio adapts the classic Brace-Gatarek-Musiela Libor market model to the multiple curve environment, and shows how to...
Post-shock short-rate pricing
Original headline:
The basis between swaps referencing funded fixings and swaps referencing overnight collateralised fixings has increased in importance with the 2007–09 liquidity and credit crises. This basis means that new pricing models for fixed-income staples such...
Two curves, one price
Published online only
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign currency...
Two curves, one price
Original headline:
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign currency...
Two curves, one price
Published online only
The financial crisis has multiplied the yield curves used to price plain vanilla interest rate derivatives, making classic single-curve no-arbitrage relations and pricing formulas no longer valid. Marco Bianchetti shows that no-arbitrage can be recovered...
Smooth calibration of Markov functional models for pricing exotic interest...
Published online only
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure that allows for the effective use of a control variate
Information of interest
Published online only
The flow of information in financial markets on future liquidity risk generates the rise and fall of demand for default-free bonds. Here, Dorje Brody and Robyn Friedman present an approach to pricing these bonds and the associated derivatives, based on...
Forgot your Risk.net password?
Renew your password now!
Make sure you don't miss a day of Risk.net's essential content. Refresh your password today online!
Related conferences
-
Risk South Africa
South Africa, 28th - 2nd Mar 2012
-
OpRisk North America 2012
USA, 20th - 23rd Mar 2012
-
Risk Annual Summit
UK, 20th - 23rd Mar 2012
-
Risk & Return Россия 2012
Russia, 25th Apr 2012
-
Risk and Return Russia
Russia, 25th Apr 2012
Related training
-
Nexus-Risk Training
USA, 26th Oct 2012
-
Marcello Minenna on Derivative Pricing and Model Calibration: Tools and Techniques
UK, 15th - 17th Feb 2012
-
Basel 2.5 to Basel III: Challenges and Objectives for Risk Management
UK, 16th - 17th Feb 2012
-
Basel 2.5 to Basel III: Challenges and Objectives for Risk Management
USA, 23rd - 24th Feb 2012
-
Patrick Hagan on Fixed Income
UK, 23rd - 24th Feb 2012
Updating your subscription status 
Email alerts
Weekly poll
Technology white papers
Related Jobs
