Profitability patterns in the interest rate derivatives market
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DOI: 10.1007/s11147-017-9129-3
Abstract: This study identifies profitability patterns and their determinants in the global interest rate derivatives market. Although this market is the world’s largest financial market in terms of nominal value, there has been basically no academic… read more here.
Keywords: interest rate; profitability; rate derivatives; market ... See more keywords
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
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DOI: 10.1080/14697688.2024.2364800
Abstract: After the replacement of Libor with alternative reference rates across the world, market participants must now adjust to a variety of changes to both contract terms and market rate dynamics. Focusing mostly on the new… read more here.
Keywords: rate derivatives; rate; hike modeling; spike hike ... See more keywords