Zobrazeno 1 - 10
of 97
pro vyhledávání: '"Convenience Yields"'
Akademický článek
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Akademický článek
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Publikováno v:
Symmetry, Vol 14, Iss 11, p 2385 (2022)
This paper presents analytical formulas for pricing generalized swaps, including the moment swap, gamma swap, entropy swap and self-quantoed variance swap. The formulas are based on closed-form formulas for the conditional expectations of the product
Externí odkaz:
https://doaj.org/article/428a71c97cf84ab5b89fd8772e42219a
Autor:
Ostry, Daniel
The rapid rise of U.S. interest rates over the past year has important implications for firms' borrowing costs and investment decisions, for global financial stability and the U.S. dollar exchange rate, and for investors' pricing of the U.S. safety p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e19e2d1ada5a9f6fac0e2f352edee79b
Autor:
Hamid Bahmanpour, Abdolsadeh Neisy
Publikováno v:
پژوهشهای اقتصادی, Vol 14, Iss 4, Pp 211-228 (2015)
The main purpose of this paper is to provide a mathematical model for oil future contracts. The study basis has put on the Schwartz Model (1997), but it is clear that with the small change, it is applicable for Iranian Oil Industry Futures. The Schwa
Externí odkaz:
https://doaj.org/article/41c174c8df804e95ab59d1bcebd95a4c
Autor:
Albuquerque, Sara Gamito
The EUR has been lagging behind the USD in terms of international usage since its creation. The purpose of this paper is to find possible explanations for this difference and discuss ways to diminish it by focusing on the development of the financial
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1437::e3a2b4c78f92263d873528b382532f5a
https://hdl.handle.net/10362/142286
https://hdl.handle.net/10362/142286
Autor:
Nissinen, Juuso, Sihvonen, Markus
A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a model in wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::e30e2dc36cc6dcb1d5a2032922ccfef3
https://hdl.handle.net/10419/265327
https://hdl.handle.net/10419/265327
Autor:
Diamond, William, Van Tassel, Peter
This paper constructs risk-free interest rates implicit in index option prices for ten of the major G11 currencies. We compare these rates to the yields of government bonds to provide international estimates of the convenience yield earned by safe as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::e85e61159881f23aadbbec3659a6c916
https://hdl.handle.net/10419/266116
https://hdl.handle.net/10419/266116
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Publikováno v:
Symmetry; Volume 14; Issue 11; Pages: 2385
This paper presents analytical formulas for pricing generalized swaps, including the moment swap, gamma swap, entropy swap and self-quantoed variance swap. The formulas are based on closed-form formulas for the conditional expectations of the product
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4e08420b8398f381fc7f558d49fdc57f
https://doi.org/10.3390/sym14112385
https://doi.org/10.3390/sym14112385