Pricing and hedging options in a negative interest rate environment
... or even negative interest rates. They break down or produce incorrect prices. According to Black’s model [7] for instance, the price of a zero strike floor should equal zero, while current market values of these products are positive 9 . Note that interest rates do not have to be negative to cause t ...
... or even negative interest rates. They break down or produce incorrect prices. According to Black’s model [7] for instance, the price of a zero strike floor should equal zero, while current market values of these products are positive 9 . Note that interest rates do not have to be negative to cause t ...
The Problem of Estimating the Volatility of Zero Coupon
... example let’s think of the calculation of the VaR of a bond portfolio. Value at Risk depends, above all, on the volatility of spot interest rates and their correlations. In practice these estimates of interest rate volatilities are obtained following a two step process: First step: As zero coupon bo ...
... example let’s think of the calculation of the VaR of a bond portfolio. Value at Risk depends, above all, on the volatility of spot interest rates and their correlations. In practice these estimates of interest rate volatilities are obtained following a two step process: First step: As zero coupon bo ...
united states securities and exchange commission
... These statements are based on beliefs and assumptions of Piedmont’s management, which in turn are based on currently available information. Important assumptions relating to the forward-looking statements include, among others, assumptions regarding the demand for office space in the sectors in whic ...
... These statements are based on beliefs and assumptions of Piedmont’s management, which in turn are based on currently available information. Important assumptions relating to the forward-looking statements include, among others, assumptions regarding the demand for office space in the sectors in whic ...
Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
... Within a week, yields of ten-year government bonds had increased by 21 basis points. On June 19, 2013, bond yields increased further following a Federal Reserve press conference, as markets feared an end to the Fed’s balance-sheet expansion. Figure 1 shows the evolution of the zero-coupon Treasury y ...
... Within a week, yields of ten-year government bonds had increased by 21 basis points. On June 19, 2013, bond yields increased further following a Federal Reserve press conference, as markets feared an end to the Fed’s balance-sheet expansion. Figure 1 shows the evolution of the zero-coupon Treasury y ...
united states securities and exchange commission
... Certain statements contained in this Form 10-Q and other written or oral statements made by or on behalf of Piedmont Office Realty Trust, Inc. (“Piedmont”) may constitute forward-looking statements within the meaning of the federal securities laws. In addition, Piedmont, or its executive officers on ...
... Certain statements contained in this Form 10-Q and other written or oral statements made by or on behalf of Piedmont Office Realty Trust, Inc. (“Piedmont”) may constitute forward-looking statements within the meaning of the federal securities laws. In addition, Piedmont, or its executive officers on ...
Exchange Rates and the Foreign Exchange Market: An Asset
... cuisine while shopping for designer clothing and other specialties. When measured in terms of dollars, prices in France were so much lower than they had been a few years before that a shopper’s savings could offset the cost of an airplane ticket from New York or Chicago. Five years later, however, t ...
... cuisine while shopping for designer clothing and other specialties. When measured in terms of dollars, prices in France were so much lower than they had been a few years before that a shopper’s savings could offset the cost of an airplane ticket from New York or Chicago. Five years later, however, t ...
102finalmc
... a. each symbol identifies a variable. b. the right-hand and left-hand sides are equal. c. the equality holds due to the way the variables are defined. d. None of the above is correct. Consider T-G and Y-T-C. a. Each one of these is equal to national saving. b. Each one of these is equal to public sa ...
... a. each symbol identifies a variable. b. the right-hand and left-hand sides are equal. c. the equality holds due to the way the variables are defined. d. None of the above is correct. Consider T-G and Y-T-C. a. Each one of these is equal to national saving. b. Each one of these is equal to public sa ...
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... population constitutes an important segment of the society, traditional debt markets cannot flourish. Hence there is a high demand and need for developing alternatives to traditional debt markets that can be acceptable to the Islamic law. As a result, there has recently been a rapid growth of a thri ...
... population constitutes an important segment of the society, traditional debt markets cannot flourish. Hence there is a high demand and need for developing alternatives to traditional debt markets that can be acceptable to the Islamic law. As a result, there has recently been a rapid growth of a thri ...
0001193125-14-167598 - Town Sports International Holdings, Inc.
... subsidiary, Town Sports International, LLC (“TSI, LLC”), operated 162 fitness clubs (“clubs”), comprised of 108 clubs in the New York metropolitan market under the “New York Sports Clubs” brand name, 29 clubs in the Boston market under the “Boston Sports Clubs” brand name, 16 clubs (two of which are ...
... subsidiary, Town Sports International, LLC (“TSI, LLC”), operated 162 fitness clubs (“clubs”), comprised of 108 clubs in the New York metropolitan market under the “New York Sports Clubs” brand name, 29 clubs in the Boston market under the “Boston Sports Clubs” brand name, 16 clubs (two of which are ...
Optimal Federal Public Debt Composition
... With regard to defining an optimal long-term public debt composition (benchmark), it represents the desired profile for the debt structure and constitutes a guide for delineating the government's short and medium-term financing strategies. In the Brazilian case, the benchmark is expressed by a set o ...
... With regard to defining an optimal long-term public debt composition (benchmark), it represents the desired profile for the debt structure and constitutes a guide for delineating the government's short and medium-term financing strategies. In the Brazilian case, the benchmark is expressed by a set o ...
CAPITAL MARKETS PRODUCT RISK BOOK
... The purpose of this Product Risk Book is to provide our clients with appropriate information on the nature, advantages (disadvantages) and risks of the financial instruments covered therein (the “Capital Markets Products”) so as to enable them to make investment decisions on an informed basis. Part ...
... The purpose of this Product Risk Book is to provide our clients with appropriate information on the nature, advantages (disadvantages) and risks of the financial instruments covered therein (the “Capital Markets Products”) so as to enable them to make investment decisions on an informed basis. Part ...
Upper bounds for the value of Bermudan options
... forward rates, which have the advantage of being directly observable in the market. A δ-year forward LIBOR rate is a LIBOR rate over a period with a fixed length δ = T2 − T1 , e.g. δ = 14 or δ = 12 for the 3-months or 6-months forward LIBOR rate respectively. The δ-year forward LIBOR rate at time t ...
... forward rates, which have the advantage of being directly observable in the market. A δ-year forward LIBOR rate is a LIBOR rate over a period with a fixed length δ = T2 − T1 , e.g. δ = 14 or δ = 12 for the 3-months or 6-months forward LIBOR rate respectively. The δ-year forward LIBOR rate at time t ...
Interest rate swap
An interest rate swap (IRS) is a liquid financial derivative instrument in which two parties agree to exchange interest rate cash flows, based on a specified notional amount from a fixed rate to a floating rate (or vice versa) or from one floating rate to another. Interest rate swaps can be used for both hedging and speculating.