Concept

Forward Rate Agreement

Publications associées (24)

Graph Chatbot

Chattez avec Graph Search

Posez n’importe quelle question sur les cours, conférences, exercices, recherches, actualités, etc. de l’EPFL ou essayez les exemples de questions ci-dessous.

AVERTISSEMENT : Le chatbot Graph n'est pas programmé pour fournir des réponses explicites ou catégoriques à vos questions. Il transforme plutôt vos questions en demandes API qui sont distribuées aux différents services informatiques officiellement administrés par l'EPFL. Son but est uniquement de collecter et de recommander des références pertinentes à des contenus que vous pouvez explorer pour vous aider à répondre à vos questions.

Connectez-vous pour utiliser Chat avec Graph Search

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019

An Inertial Parallel and Asynchronous Forward-Backward Iteration for Distributed Convex Optimization

Colin Neil Jones, Georgios Stathopoulos

Two characteristics that make convex decomposition algorithms attractive are simplicity of operations and generation of parallelizable structures. In principle, these schemes require that all coordinates update at the same time, i.e., they are synchronous ...

SPRINGER/PLENUM PUBLISHERS2019

Supervised Learning Under Distributed Features

Ali H. Sayed, Bicheng Ying, Kun Yuan

This paper studies the problem of learning under both large datasets and large-dimensional feature space scenarios. The feature information is assumed to be spread across agents in a network, where each agent observes some of the features. Through local co ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2019

Stochastic Learning Under Random Reshuffling With Constant Step-Sizes

Ali H. Sayed, Stefan Vlaski, Bicheng Ying, Kun Yuan

In empirical risk optimization, it has been observed that stochastic gradient implementations that rely on random reshuffling of the data achieve better performance than implementations that rely on sampling the data uniformly. Recent works have pursued ju ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2019

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

Linear-Rational Term Structure Models

Damir Filipovic, Martin Larsson

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 advantages: (i) ensures ...

Wiley2017

Decentralized exact coupled optimization

Ali H. Sayed, Kun Yuan, Sulaiman A S A E Alghunaim

This work develops an exact converging algorithm for the solution of a distributed optimization problem with partially-coupled parameters across agents in a multi-agent scenario. In this formulation, while the network performance is dependent on a collecti ...

2017

On the performance of random reshuffling in stochastic learning

Ali H. Sayed, Stefan Vlaski, Bicheng Ying, Kun Yuan

In empirical risk optimization, it has been observed that gradient descent implementations that rely on random reshuffling of the data achieve better performance than implementations that rely on sampling the data randomly and independently of each other. ...

2017

The term structure of interbank risk

Damir Filipovic

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...

Elsevier2013

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Anders Trolle

We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...

Oxford University Press2009