Interest rate swap ≈ Interest rate swap
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Linear‐Rational Term Structure Models Open
We introduce the class of linear‐rational term structure models in which the state price density is modeled such that bond prices become linear‐rational functions of the factors. This class is highly tractable with several distinct advanta…
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Central Bank Swap Lines: Evidence on the Effects of the Lender of Last Resort Open
Theory predicts that central-bank lending programs put ceilings on private domestic lending rates, reduce ex post financing risk, and encourage ex ante investment. This article shows that with global banks and integrated financial markets,…
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OTC premia Open
Using unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter (OTC). We find substantial and persistent heterogeneity in derivative prices consistent with a pass-…
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A model for interest rates with clustering effects Open
We propose a model for short-term rates driven by a self-exciting jump process to reproduce the clustering of shocks on the Euro overnight index average (EONIA). The key element of the model is the feedback effect between the absolute valu…
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Affine multiple yield curve models Open
We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or Heath–Jarrow–Morton modeling, can be consolidated. We model a numéraire pro…
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Do Banks Hedge Using Interest Rate Swaps? Open
We ask whether banks use interest rate swaps to hedge the interest rate risk of their assets, primarily loans and securities.To this end, we use regulatory data on individual swap positions for the largest 250 U.S. banks.We find that the a…
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A Practical Guide to Swap Curve Construction Open
The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism …
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The Effect of ECB Forward Guidance on the Term Structure of Interest Rates Open
This paper investigates the instantaneous and dynamic effects of ECB forward guidance announcements on the term structure of interest rates. We estimate the static and dynamic impacts of forward guidance on overnight indexed swaps (OIS) ra…
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Bypassing sluggishness: SWAP algorithm and glassiness in high dimensions Open
Réf Journal: Phys. Rev. E 99, 031301 (2019)
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Negative Swap Spreads and Limited Arbitrage Open
Since October 2008 fixed rates for interest rate swaps with a thirty year maturity have been mostly below treasury rates with the same maturity.Under standard assumptions this implies the existence of arbitrage opportunities.This paper pre…
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Valuing Interest Rate Swap Contracts in Uncertain Financial Market Open
Swap is a financial contract between two counterparties who agree to exchange one cash flow stream for another, according to some predetermined rules. When the cash flows are fixed rate interest and floating rate interest, the swap is call…
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Central bank swap lines and cross-border bank flows Open
Central banks drew heavily on US dollar swap lines with the Federal Reserve in the first half of 2020, contributing to a surge in cross-border banking flows during this period. The large increase in cross-border claims on banks operating i…
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Price-setting in the foreign exchange swap market: Evidence from order flow Open
Using transaction level data from the inter-dealer market, we find that the price impact of one standard deviation change in FX swap order flow has increased from less than one basis point prior to 2008 to about five basis points after 200…
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Uncovering covered interest parity: the role of bank regulation and monetary policy Open
We analyze the factors underlying the recent deviations from covered interest parity. We show that these deviations can be explained by tighter post-crisis bank capital regulations that made the provision of foreign exchange swaps more cos…
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Accelerated relaxation and suppressed dynamic heterogeneity in a kinetically constrained (East) model with swaps Open
We introduce a kinetically constrained spin model with a local softness parameter, such that spin flips can violate the kinetic constraint with an (annealed) site-dependent rate. We show that adding MC swap moves to this model can dramatic…
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The Term Structure of Covered Interest Rate Parity Violations Open
We show theoretically that persistent deviations from covered interest parity (CIP) across multiple horizons imply simultaneous arbitrage opportunities only if uncollateralized interbank lending rates are riskless.In the absence of observa…
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Financial Innovation, Derivatives and the <span>UK</span> and <span>US</span> Interest Rate Swap Scandals: Drawing New Boundaries for the Regulation of Financial Innovation Open
A number of questions remained unanswered with respect to the regulation of large financial institutions after the global financial crisis ( GFC ) of 2007–08. Some pressing issues have resurfaced in the context of the recent interest rate …
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A Game-Theoretic Analysis of Cross-Chain Atomic Swaps with HTLCs Open
To achieve interoperability between unconnected ledgers, hash time lock contracts (HTLCs) are commonly used for cross-chain asset exchange. The solution tolerates transaction failure, and can "make the best out of worst'' by allowing trans…
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Exchange rates, credit default swaps and market volatility of emerging markets: Panel CS-ARDL approach Open
Using the panel-data approach with a sample of emerging countries, this study examines the relationship between exchange-rate movements from 2011 to 2022, on the one hand, and sovereign debt credit default swap (CDS) premiums and market vo…
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Computing Long-Term Market Inflation Expectations for Countries Without Inflation Expectation Markets Open
We derive daily market‐based domestic long‐term inflation expectations for eight countries without inflation swap markets. To do so, we use foreign inflation swaps together with (1) foreign and domestic interest rate swaps assuming that pu…
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Carbon-to-nitrogen atom swap enables direct access to benzimidazoles from drug-like indoles Open
The ability to selectively edit organic molecules at the atomic level has the potential to streamline lead discovery and optimization in the pharmaceutical and agrochemical industry. While numerous atom insertion and deletion reactions hav…
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The role of the Central Bank as a participant in the financial derivatives market Open
The subject of the research is an analysis of the role of central banks in the financial derivatives market and the role of the National Bank of Serbia as an intermediary in order to enable efficient hedging against currency risk. The rese…
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Debt swaps for financing education: Exploration of new funding resources Open
As an innovative financial mechanism to explore additional funds for social development programs in developing countries, debt swaps for development, including debt-for-education swaps, became popular between the 1980s and 2000s. Their pop…
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Debt Swapping for Risk Mitigation in Financial Networks Open
We study financial networks where banks are connected by debt contracts. We\nconsider the operation of debt swapping when two creditor banks decide to\nexchange an incoming payment obligation, thus leading to a locally different\nnetwork s…
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An analytical formula for pricing interest rate swaps in terms of bondprices under the extended Cox-Ingersoll Ross model Open
This paper presents an analytical formula for pricing interest rate swaps (IRSs) in terms of bond prices in which the interest rates are assumed to follow the extended Cox-Ingersoll-Ross model. Furthermore, we analytically investigate some…
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Chinese yuan interest rate swap yields Open
This paper models the dynamics of Chinese yuan–denominated long-term interest rate swap yields. It shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial…
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Hedging Long-Term Liabilities Open
Pension funds and life insurers face interest rate risk arising from the duration mismatch of their assets and liabilities. With the aim of hedging long-term liabilities, we estimate variations of a Nelson–Siegel model using swap returns w…
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A Comprehensive Analysis of the Determinants of Swap Problem in the Supply Chain of the Petroleum Industry Open
Applying mathematical modeling to solve swap problems, specifically in the petroleum industry, have proven to help the decision makers to better determine what, where, and how much to swap in order to reduce supply chain (SC) costs and imp…
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Positive XVAs Open
Since the 2008 crisis, derivative dealers charge to their clients various add-ons, dubbed XVAs, meant to account for counterparty risk and its capital and funding implications. As banks cannot replicate jump-to-default related cash flows, …
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A term structure model for dividends and interest rates Open
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump‐diffusions to jointly price the term structures of dividends and…