3,111 research outputs found
The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Once upon a time there was a classical financial world in which all the
Libors were equal. Standard textbooks taught that simple relations held, such
that, for example, a 6 months Libor Deposit was replicable with a 3 months
Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that Libor
was a good proxy of the risk free rate required as basic building block of
no-arbitrage pricing theory. Nowadays, in the modern financial world after the
credit crunch, some Libors are more equal than others, depending on their rate
tenor, and classical formulas are history. Banks are not anymore too "big to
fail", Libors are fixed by panels of risky banks, and they are risky rates
themselves. These simple empirical facts carry very important consequences in
derivative's trading and risk management, such as, for example, basis risk,
collateralization and regulatory pressure in favour of Central Counterparties.
Something that should be carefully considered by anyone managing even a single
plain vanilla Swap. In this qualitative note we review the problem trying to
shed some light on this modern animal farm, recurring to an analogy with
quantum physics, the Zeeman effect
Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors. Within such double-curve-single-currency framework, adopted by the market after the credit-crunch crisis started in summer 2007, standard single-curve no-arbitrage relations are no longer valid, and can be recovered by taking properly into account the forward basis bootstrapped from market basis swaps. Numerical results show that the resulting forward basis curves may display a richer micro-term structure that may induce appreciable effects on the price of interest rate instruments. By recurring to the foreign-currency analogy we also derive generalised no-arbitrage double-curve market-like formulas for basic plain vanilla interest rate derivatives, FRAs, swaps, caps/floors and swaptions in particular. These expressions include a quanto adjustment typical of cross-currency derivatives, naturally originated by the change between the numeraires associated to the two yield curves, that carries on a volatility and correlation dependence. Numerical scenarios confirm that such correction can be non negligible, thus making unadjusted double-curve prices, in principle, not arbitrage free. Both the forward basis and the quanto adjustment find a natural financial explanation in terms of counterparty risk.liquidity, crisis, counterparty risk, yield curve, forward curve, discount curve, pricing, hedging, interest rate derivatives, FRAs, swaps, basis swaps, caps, floors, swaptions, basis adjustment, quanto adjustment, measure changes, no arbitrage, QuantLib
Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis
(GSA) techniques to pricing and risk management (greeks) of representative
financial instruments of increasing complexity. We compare QMC vs standard
Monte Carlo (MC) results in great detail, using high-dimensional Sobol' low
discrepancy sequences, different discretization methods, and specific analyses
of convergence, performance, speed up, stability, and error optimization for
finite differences greeks. We find that our QMC outperforms MC in most cases,
including the highest-dimensional simulations and greeks calculations, showing
faster and more stable convergence to exact or almost exact results. Using GSA,
we are able to fully explain our findings in terms of reduced effective
dimension of our QMC simulation, allowed in most cases, but not always, by
Brownian bridge discretization. We conclude that, beyond pricing, QMC is a very
promising technique also for computing risk figures, greeks in particular, as
it allows to reduce the computational effort of high-dimensional Monte Carlo
simulations typical of modern risk management.Comment: 43 pages, 21 figures, 6 table
Métodos para produção de sementes florestais nativas.
Introdução; Extração de sementes; Embalagem e armazenamento de sementes; Análise das sementes em laboratorio.bitstream/item/96206/1/CPAF-AP-1999-Metodos-producao-sementes.pd
MĂ©todos para superar a dormĂŞncia de sementes de bracatinga (Mimosa scabrella Benth.).
bitstream/item/215525/1/circ-tec04.pd
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