Interest Rate Derivatives at Commercial Banks: An Empirical Investigation

SSRN Electronic Journal ◽

10.2139/ssrn.389760 ◽

2006 ◽

Cited By ~ 2

Author(s):

Amiyatosh K. Purnanandam

Keyword(s):

Interest Rate ◽

Commercial Banks ◽

Empirical Investigation ◽

Interest Rate Derivatives

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Interest rate derivatives at commercial banks: An empirical investigation

Journal of Monetary Economics ◽

10.1016/j.jmoneco.2006.07.009 ◽

2007 ◽

Vol 54 (6) ◽

pp. 1769-1808 ◽

Cited By ~ 100

Author(s):

Amiyatosh Purnanandam

Keyword(s):

Interest Rate ◽

Commercial Banks ◽

Empirical Investigation ◽

Interest Rate Derivatives

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Interest Rate Risk at Commercial Banks: An Empirical Investigation

Financial Review ◽

10.1111/j.1540-6288.1989.tb00351.x ◽

1989 ◽

Vol 24 (3) ◽

pp. 431-455 ◽

Cited By ~ 17

Author(s):

Karlyn Mitchell

Keyword(s):

Interest Rate ◽

Commercial Banks ◽

Empirical Investigation ◽

Interest Rate Risk ◽

Rate Risk

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Interest rate derivatives and asset-liability management by commercial banks

International Advances in Economic Research ◽

10.1007/bf02295865 ◽

1995 ◽

Vol 1 (1) ◽

pp. 83-83 ◽

Cited By ~ 6

Author(s):

Katerina Simons

Keyword(s):

Interest Rate ◽

Commercial Banks ◽

Asset Liability Management ◽

Interest Rate Derivatives ◽

Liability Management

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Assessing the Determinants of Interest Rate Spread of Commercial Banks in Oman: An Empirical Investigation

EUROPEAN RESEARCH STUDIES JOURNAL ◽

10.35808/ersj/630 ◽

2017 ◽

Vol XX (Issue 2A) ◽

pp. 90-108

Author(s):

Faris ◽

Syed

Keyword(s):

Interest Rate ◽

Commercial Banks ◽

Empirical Investigation ◽

Interest Rate Spread

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Factors Impacting the Interest Rate Derivatives Usage in Indian Commercial Banks

Theoretical Economics Letters ◽

10.4236/tel.2017.73045 ◽

2017 ◽

Vol 07 (03) ◽

pp. 596-614

Author(s):

Dilip Kumar

Keyword(s):

Interest Rate ◽

Commercial Banks ◽

Interest Rate Derivatives ◽

The Interest Rate

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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models

The Journal of Computational Finance ◽

10.21314/jcf.2015.304 ◽

2015 ◽

Vol 18 (4) ◽

pp. 129-161 ◽

Cited By ~ 1

Author(s):

Radha Krishn Coonjobeharry ◽

Désiré Yannick Tangman ◽

Muddun Bhuruth

Keyword(s):

Interest Rate ◽

Integrodifferential Equation ◽

Interest Rate Derivatives ◽

Short Rate Models ◽

Partial Integrodifferential Equation

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A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

SSRN Electronic Journal ◽

10.2139/ssrn.1502302 ◽

2009 ◽

Cited By ~ 3

Author(s):

Duy Minh Dang ◽

Christina Christara ◽

Kenneth R. Jackson ◽

Asif Lakhany

Keyword(s):

Interest Rate ◽

Interest Rate Derivatives ◽

Pricing Framework

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GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model

SSRN Electronic Journal ◽

10.2139/ssrn.1549661 ◽

2010 ◽

Author(s):

Duy Minh Dang ◽

Christina Christara ◽

Kenneth R. Jackson

Keyword(s):

Interest Rate ◽

Foreign Exchange ◽

Interest Rate Derivatives ◽

Foreign Exchange Volatility

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Pricing Interest Rate Derivatives with Multilinear Interpolations and Transition Densities

SSRN Electronic Journal ◽

10.2139/ssrn.1745249 ◽

2012 ◽

Cited By ~ 1

Author(s):

Hatem Ben Ameur ◽

Lotfi Karoui ◽

Walid Mnif

Keyword(s):

Interest Rate ◽

Interest Rate Derivatives ◽

Transition Densities

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A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives

SSRN Electronic Journal ◽

10.2139/ssrn.2237718 ◽

2013 ◽

Author(s):

Duy Minh Dang ◽

Christina Christara ◽

Kenneth R. Jackson

Keyword(s):

Interest Rate ◽

Foreign Exchange ◽

Efficient Implementation ◽

Interest Rate Derivatives ◽

Highly Efficient ◽

Gpu Clusters ◽

Path Dependent

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