Статті в журналах з теми "Interest rate and volatility risk"
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Ho, Thomas S. Y. "Managing Interest Rate Volatility Risk." Journal of Fixed Income 17, no. 3 (December 31, 2007): 6–17. http://dx.doi.org/10.3905/jfi.2007.700216.
Повний текст джерелаYang, Steve Y., and Esen Onur. "Interest Rate Swap Market Complexity and Its Risk Management Implications." Complexity 2018 (October 24, 2018): 1–20. http://dx.doi.org/10.1155/2018/5470305.
Повний текст джерелаInternational Monetary Fund. "Interest Rate Volatility and Risk in Indian Banking." IMF Working Papers 04, no. 17 (2004): 1. http://dx.doi.org/10.5089/9781451843569.001.
Повний текст джерелаMATACZ, ANDREW, and JEAN-PHILIPPE BOUCHAUD. "EXPLAINING THE FORWARD INTEREST RATE TERM STRUCTURE." International Journal of Theoretical and Applied Finance 03, no. 03 (July 2000): 381–89. http://dx.doi.org/10.1142/s0219024900000243.
Повний текст джерелаHosokawa, Satoshi, and Koichi Matsumoto. "Pricing interest rate derivatives with model risk." Journal of Financial Engineering 02, no. 01 (March 2015): 1550003. http://dx.doi.org/10.1142/s2345768615500038.
Повний текст джерелаNouman, Muhammad, Maria Hashim, Vanina Adoriana Trifan, Adina Eleonora Spinu, Muhammad Fahad Siddiqi, and Farman Ullah Khan. "Interest rate volatility and financing of Islamic banks." PLOS ONE 17, no. 7 (July 26, 2022): e0268906. http://dx.doi.org/10.1371/journal.pone.0268906.
Повний текст джерелаKim, Bomi, and Jeong-Hoon Kim. "Default risk in interest rate derivatives with stochastic volatility." Quantitative Finance 11, no. 12 (April 15, 2011): 1837–45. http://dx.doi.org/10.1080/14697688.2010.543426.
Повний текст джерелаCarcano, Nicola, and Silverio Foresi. "Hedging against interest rate risk: Reconsidering volatility-adjusted immunization." Journal of Banking & Finance 21, no. 2 (February 1997): 127–41. http://dx.doi.org/10.1016/s0378-4266(96)00031-3.
Повний текст джерелаBaños, David, Marc Lagunas-Merino, and Salvador Ortiz-Latorre. "Variance and Interest Rate Risk in Unit-Linked Insurance Policies." Risks 8, no. 3 (August 6, 2020): 84. http://dx.doi.org/10.3390/risks8030084.
Повний текст джерелаYoon, Byung-Jo, Kook-Hyun Chang, and 홍. 민구. "Long Term Volatility of Interest Rate Swap and Macroeconomic Risk in Korean Market." Journal of Derivatives and Quantitative Studies 21, no. 3 (August 31, 2013): 255–73. http://dx.doi.org/10.1108/jdqs-03-2013-b0001.
Повний текст джерелаZhang, Qiming, Xuemeng Guo, and Hongchang Li. "The Impact of Financial Risks on Financial Investment in Infrastructure: Based on a Two-Factor Stochastic Differential Equation." Discrete Dynamics in Nature and Society 2021 (October 21, 2021): 1–14. http://dx.doi.org/10.1155/2021/9112739.
Повний текст джерелаAlenezi, Mariam, Ahmad Alqatan, and Obby Phiri. "The sensitivity of GCC firms’ stock returns to exchange rate, interest rate, and oil price volatility." Corporate Ownership and Control 17, no. 4 (2020): 35–50. http://dx.doi.org/10.22495/cocv17i4art3.
Повний текст джерелаFernández-Villaverde, Jesús, Pablo Guerrón-Quintana, Juan F. Rubio-Ramírez, and Martin Uribe. "Risk Matters: The Real Effects of Volatility Shocks." American Economic Review 101, no. 6 (October 1, 2011): 2530–61. http://dx.doi.org/10.1257/aer.101.6.2530.
Повний текст джерелаTahani, Nabil, and Xiaofei Li. "Pricing interest rate derivatives under stochastic volatility." Managerial Finance 37, no. 1 (January 31, 2011): 72–91. http://dx.doi.org/10.1108/03074351111092157.
Повний текст джерелаPark, Hun Y., and Anil K. Bera. "Interest-Rate Volatility, Basis Risk and Heteroscedasticity in Hedging Mortgages." Real Estate Economics 15, no. 2 (June 1987): 79–97. http://dx.doi.org/10.1111/1540-6229.00420.
Повний текст джерелаDíaz, Antonio, and Marta Tolentino. "Risk Management for Bonds with Embedded Options." Mathematics 8, no. 5 (May 13, 2020): 790. http://dx.doi.org/10.3390/math8050790.
Повний текст джерелаBouzouita, Raja, and Arthur Young. "Recent Evidence on Insurance Stock Interest Rate Sensitivity." Journal of Finance Issues 8, no. 1 (June 30, 2010): 11–18. http://dx.doi.org/10.58886/jfi.v8i1.2364.
Повний текст джерелаYoon, Ji-Hun, Jeong-Hoon Kim, Sun-Yong Choi, and Youngchul Han. "Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model." Stochastics and Dynamics 17, no. 01 (December 15, 2016): 1750003. http://dx.doi.org/10.1142/s0219493717500034.
Повний текст джерелаFornari, Fabio. "Assessing the compensation for volatility risk implicit in interest rate derivatives." Journal of Empirical Finance 17, no. 4 (September 2010): 722–43. http://dx.doi.org/10.1016/j.jempfin.2010.03.002.
Повний текст джерелаMarkellos, Raphael N., and Dimitris Psychoyios. "Interest rate volatility and risk management: Evidence from CBOE Treasury options." Quarterly Review of Economics and Finance 68 (May 2018): 190–202. http://dx.doi.org/10.1016/j.qref.2017.08.005.
Повний текст джерелаOlaniyan, Sunday, and Hamadu Dallah. "MODELING THE VOLATILITY FOR LONG TERM INTEREST RATE RETURNS IN THE NIGERIA BOND MARKET USING CONDITIONALY HETEROSCEDASTIC MODELS." Jurnal Wahana Akuntansi 15, no. 1 (August 5, 2020): 46–56. http://dx.doi.org/10.21009/wahana.15.014.
Повний текст джерелаBalter, Anne G., and Bas J. M. Werker. "THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES." ASTIN Bulletin 50, no. 1 (October 31, 2019): 131–54. http://dx.doi.org/10.1017/asb.2019.27.
Повний текст джерелаByun, Suk Joon, and Ki Cheon Chang. "Volatility risk premium in the interest rate market: Evidence from delta-hedged gains on USD interest rate swaps." International Review of Financial Analysis 40 (July 2015): 88–102. http://dx.doi.org/10.1016/j.irfa.2015.03.018.
Повний текст джерелаAkhmedov, Fakhraddin, Mhd Zeitoun, and Humssi Al. "Financial engineering to optimize risk management in banks based on Interest Rate Swaps to better hedge the exposure to interest rate fluctuations the case of banks in Syria." International Review, no. 1-2 (2021): 99–107. http://dx.doi.org/10.5937/intrev2102101a.
Повний текст джерелаGhosh, Renu, K. Latha, and Sunita Gupta. "Interest Rate Sensitivity of Non-banking Financial Sector in India." Vikalpa: The Journal for Decision Makers 43, no. 3 (August 20, 2018): 152–70. http://dx.doi.org/10.1177/0256090918792803.
Повний текст джерелаElyasiani, Elyas, and Iqbal Mansur. "International Spillover of Risk and Return among Major Banking Institutions: A Bivariate GARCH Model." Journal of Accounting, Auditing & Finance 18, no. 2 (April 2003): 303–30. http://dx.doi.org/10.1177/0148558x0301800207.
Повний текст джерелаHammami, Haifa, and Younes Boujelbene. "FINANCIAL RISKS AND STOCK MARKET CRASHES: AN EMPIRICAL ANALYSIS OF THE TUNISIAN STOCK MARKET." Applied Finance Letters 10 (June 16, 2021): 10–23. http://dx.doi.org/10.24135/afl.v10i.379.
Повний текст джерелаDewi, Syanti, and Ishak Ramli. "OPSI SAHAM PADA PASAR MODAL DI INDONESIA (STUDI PASAR OPSI SAAT PASAR OPSI MASIH BERLANGSUNG DI BURSA EFEK INDONESIA)." Jurnal Muara Ilmu Ekonomi dan Bisnis 2, no. 2 (March 28, 2019): 300. http://dx.doi.org/10.24912/jmieb.v2i2.1001.
Повний текст джерелаHaider, Syed Kamran Ali, Shujahat Haider Hashmi, and Ishtiaq Ahmed. "Systematic risk factors and stock return volatility." Applied Studies in Agribusiness and Commerce 11, no. 1-2 (June 30, 2017): 61–70. http://dx.doi.org/10.19041/apstract/2017/1-2/8.
Повний текст джерелаArellano, Cristina. "Default Risk and Income Fluctuations in Emerging Economies." American Economic Review 98, no. 3 (May 1, 2008): 690–712. http://dx.doi.org/10.1257/aer.98.3.690.
Повний текст джерелаde Ferra, Sergio, and Enrico Mallucci. "Sovereign risk matters: Endogenous default risk and the time-varying volatility of interest rate spreads." Journal of International Economics 134 (January 2022): 103542. http://dx.doi.org/10.1016/j.jinteco.2021.103542.
Повний текст джерелаBrody, Dorje C., Lane P. Hughston, and Ewan Mackie. "General theory of geometric Lévy models for dynamic asset pricing." Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 468, no. 2142 (February 29, 2012): 1778–98. http://dx.doi.org/10.1098/rspa.2011.0670.
Повний текст джерелаBENTH, FRED ESPEN, and FRANK PROSKE. "UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES." International Journal of Theoretical and Applied Finance 12, no. 01 (February 2009): 63–82. http://dx.doi.org/10.1142/s0219024909005117.
Повний текст джерелаKarlsson, P., K. F. Pilz, and E. Schlögl. "Calibrating a market model with stochastic volatility to commodity and interest rate risk." Quantitative Finance 17, no. 6 (December 21, 2016): 907–25. http://dx.doi.org/10.1080/14697688.2016.1254814.
Повний текст джерелаMcKINNON, RONALD I. "INTEREST RATE VOLATILITY AND EXCHANGE RISK: NEW RULES FOR A COMMON MONETARY STANDARD." Contemporary Economic Policy 8, no. 2 (April 1990): 1–17. http://dx.doi.org/10.1111/j.1465-7287.1990.tb00587.x.
Повний текст джерелаEspinosa, Fernando, and Josep Vives. "A volatility-varying and jump-diffusion Merton type model of interest rate risk." Insurance: Mathematics and Economics 38, no. 1 (February 2006): 157–66. http://dx.doi.org/10.1016/j.insmatheco.2005.08.010.
Повний текст джерелаGómez-Valle, L., and J. Martínez-Rodríguez. "The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes." Journal of Computational and Applied Mathematics 347 (February 2019): 49–61. http://dx.doi.org/10.1016/j.cam.2018.07.048.
Повний текст джерелаHuang, Jianbo, Jian Liu, and Yulei Rao. "Binary Tree Pricing to Convertible Bonds with Credit Risk under Stochastic Interest Rates." Abstract and Applied Analysis 2013 (2013): 1–8. http://dx.doi.org/10.1155/2013/270467.
Повний текст джерелаDEWI, MIRANDA NOVI MARA, KOMANG DHARMAWAN, and KARTIKA SARI. "ESTIMASI VALUE AT RISK MENGGUNAKAN VOLATILITAS DISPLACED DIFFUSION." E-Jurnal Matematika 8, no. 4 (November 30, 2019): 298. http://dx.doi.org/10.24843/mtk.2019.v08.i04.p268.
Повний текст джерелаMendes, Victor, and Margarida Abreu. "Monetary and Financial Instability and European Bank Interest Margins." International Finance and Banking 5, no. 1 (April 13, 2018): 14. http://dx.doi.org/10.5296/ifb.v5i1.13000.
Повний текст джерелаHarris, Geoffrey R., Tao L. Wu, and Jiarui Yang. "The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives." Journal of Credit Risk 11, no. 1 (March 2015): 93–127. http://dx.doi.org/10.21314/jcr.2015.190.
Повний текст джерелаMohanty, Sunil K., Roar Aadland, Sjur Westgaard, Stein Frydenberg, Hilde Lillienskiold, and Cecilie Kristensen. "Modelling Stock Returns and Risk Management in the Shipping Industry." Journal of Risk and Financial Management 14, no. 4 (April 9, 2021): 171. http://dx.doi.org/10.3390/jrfm14040171.
Повний текст джерелаHattori, Masazumi, Andreas Schrimpf, and Vladyslav Sushko. "The Response of Tail Risk Perceptions to Unconventional Monetary Policy." American Economic Journal: Macroeconomics 8, no. 2 (April 1, 2016): 111–36. http://dx.doi.org/10.1257/mac.20140016.
Повний текст джерелаMATACZ, ANDREW, and JEAN-PHILIPPE BOUCHAUD. "AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE." International Journal of Theoretical and Applied Finance 03, no. 04 (October 2000): 703–29. http://dx.doi.org/10.1142/s0219024900000838.
Повний текст джерелаWang, Xiandong, Jianmin He, and Shouwei Li. "Compound Option Pricing under Fuzzy Environment." Journal of Applied Mathematics 2014 (2014): 1–9. http://dx.doi.org/10.1155/2014/875319.
Повний текст джерелаSOHEL AZAD, A. S. M., VICTOR FANG, and J. WICKRAMANAYAKE. "Low-Frequency Volatility of Yen Interest Rate Swap Market in Relation to Macroeconomic Risk*." International Review of Finance 11, no. 3 (April 20, 2011): 353–90. http://dx.doi.org/10.1111/j.1468-2443.2011.01129.x.
Повний текст джерелаHautsch, Nikolaus, and Yangguoyi Ou. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields." Journal of Banking & Finance 36, no. 11 (November 2012): 2988–3007. http://dx.doi.org/10.1016/j.jbankfin.2012.06.020.
Повний текст джерелаLO, C. F., P. H. YUEN, and C. H. HUI. "OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS." International Journal of Theoretical and Applied Finance 03, no. 03 (July 2000): 581–89. http://dx.doi.org/10.1142/s0219024900000668.
Повний текст джерелаZhu, Jiaqi, and Shenghong Li. "Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility." Mathematics 8, no. 12 (December 7, 2020): 2183. http://dx.doi.org/10.3390/math8122183.
Повний текст джерелаLi, Jinzhi, and Shixia Ma. "Pricing Options with Credit Risk in Markovian Regime-Switching Markets." Journal of Applied Mathematics 2013 (2013): 1–9. http://dx.doi.org/10.1155/2013/621371.
Повний текст джерела