A Simple Unified Model for Pricing Derivative Securities with Equity, Interest-Rate, and Default Risk

2003 ◽  
Author(s):  
Sanjiv Ranjan Das ◽  
Rangarajan K. Sundaram ◽  
Suresh M. Sundaresan
Keyword(s):  
Interest Rate ◽  
Default Risk ◽  
Unified Model ◽  
Derivative Securities ◽  
Pricing Derivative Securities

Determinants of Treasury-LIBOR Swap Spreads

2005 ◽  
Vol 08 (04) ◽  
pp. 687-705 ◽  
Author(s):  
D. K. Malhotra ◽  
Vivek Bhargava ◽  
Mukesh Chaudhry
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Default Risk ◽  
Yield Curve ◽  
Short Term ◽  
Long Run ◽  
Interest Rate Volatility ◽  
Short Run ◽  
Using Data ◽  
Swap Spreads

Using data from the Treasury versus London Interbank Offer Swap Rates (LIBOR) for October 1987 to June 1998, this paper examines the determinants of swap spreads in the Treasury-LIBOR interest rate swap market. This study hypothesizes Treasury-LIBOR swap spreads as a function of the Treasury rate of comparable maturity, the slope of the yield curve, the volatility of short-term interest rates, a proxy for default risk, and liquidity in the swap market. The study finds that, in the long-run, swap spreads are negatively related to the yield curve slope and liquidity in the swap market. We also find that swap spreads are positively related to the short-term interest rate volatility. In the short-run, swap market's response to higher default risk seems to be higher spread between the bid and offer rates.

Interest Rate Derivative Securities

2013 ◽  
pp. 277-345
Author(s):  
You-lan Zhu ◽  
Xiaonan Wu ◽  
I-Liang Chern ◽  
Zhi-zhong Sun
Keyword(s):  
Interest Rate ◽  
Derivative Securities ◽  
Interest Rate Derivative

scholarly journals Interest Rate Uncertainty and Sovereign Default Risk

2020 ◽  
Author(s):  
Alok Johri ◽  
Shahed Khan ◽  
César Sosa-Padilla
Keyword(s):  
Interest Rate ◽  
Default Risk ◽  
Sovereign Default ◽  
Sovereign Default Risk

BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH

2005 ◽  
Vol 08 (01) ◽  
pp. 1-12 ◽  
Author(s):  
FRANCISCO VENEGAS-MARTÍNEZ
Keyword(s):  
Bayesian Inference ◽  
Option Pricing ◽  
Maximum Entropy ◽  
Bayesian Model ◽  
Prior Information ◽  
Bessel Functions ◽  
Derivative Securities ◽  
Expected Values ◽  
Pricing Derivative Securities ◽  
Approximate Formulas

This paper develops a Bayesian model for pricing derivative securities with prior information on volatility. Prior information is given in terms of expected values of levels and rates of precision: the inverse of variance. We provide several approximate formulas, for valuing European call options, on the basis of asymptotic and polynomial approximations of Bessel functions.

Default Risk and Innovations in the Design of Interest Rate Swaps

1993 ◽  
Vol 22 (2) ◽  
pp. 94 ◽  
Author(s):  
Keith C. Brown ◽  
Donald J. Smith
Keyword(s):  
Interest Rate ◽  
Default Risk ◽  
Interest Rate Swaps
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