The credit risk components of a swap portfolio
Article Abstract:
The impact of structural and temporary credit risk changes on swap prices is investigated using the model developed by Hubner (2001) for IRS and CS. The exchange of principal and an additional correlation risk exhibits a nonnegligible impact on the contract value, which makes this phenomenon stronger for CS.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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The interrelation of price volatility and trading volume of currency options
Article Abstract:
The relation between future volatility of the U.S. dollar/ British pound exchange rate and trading volume of currency options for the British pound is studied. The results supported the hypothesis that the information-based trading drives more of trading volume than the hedging
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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Empirical performance of alternative pricing models of currency options
Article Abstract:
The performance of the modified Black-Scholes and Heston's stochastic volatility currency option pricing models is discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2000
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