Concept

Obligation à taux fixe

Publications associées (21)

The term structure of interbank risk

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

The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...

2011

Hydrodynamic processes in sharp meander bends and their morphological implications

Koen Blanckaert

The migration rate of sharp meander bends exhibits large variance and indicates that some sharply curved bends tend to stabilize. These observations remain unexplained. This paper examines three hydrodynamic processes in sharp bends with fixed banks and di ...

2011

Term-Structure Models: A Graduate Course

Damir Filipovic

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathe ...

Springer Finance2009

Unspanned stochastic volatility and fixed income derivatives pricing

Pierre Collin Dufresne

We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its ...

Elsevier2005

A General Formula for Valuing Defaultable Securities

Pierre Collin Dufresne

Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, ...

2004

When Power Adaptation is Useless or Harmful

Jean-Yves Le Boudec

We consider the design of optimal strategies for joint power adaptation, rate adaptation and scheduling in a multi-hop wireless network. Most existing strategies for ad-hoc networks control either power and scheduling, or rates and scheduling, but not the ...

2004

The ongoing deregulation of electricity markets worldwide has a major impact on the power industry. New price risks require new risk management tools and new methods for the valuation of generation and transmission assets as well as existing (physical) ele ...

Forschung im Verbund2003

Generalizing the Affine Framework to HJM and Random Field Models

Pierre Collin Dufresne

We identify a class of term structure models possessing a generalized affine-structure that significantly extends the class studied by Duffie, Pan, and Singleton (2000) and Chacko and Das (2002). This class of models, which includes both infinite-state-var ...

Columbia Business School2003

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Pierre Collin Dufresne

Most term structure models assume bond markets are complete, that is, that all fixed income derivatives can be perfectly replicated using solely bonds. However, we find that, in practice, swap rates have limited explanatory power for returns on at-the-mone ...

2002

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