... price **interest** **rate** derivatives with jump-diffusion processes, we provide a novel procedure based on the estimation of the drift and jump intensity of the risk-neutral **interest** ...

14

... real **interest** **rate** in Mexico from the period 1950 to ...higher **interest** **rate** than surplus ...nominal **interest** free of risk was obtained from Villalpando-Benitez (2000) for 1950 to 1977, ...

19

... As for the second factor on the list, it is important to recall that the additional demand will not spread uniformly across all available units in the market, but it will rather concentrate on those segments that are ...

16

... uncovered **interest** **rate** parity (UIP) exchange **rate** theories are quickly sketched in section ...exchange **rate** is demonstrated in section ...and **interest** rates (X and X * and i and i * ...

41

... two-factor **interest** **rate** model with stochastic volatility and we propose that the **interest** **rate** follows a jump-diffusion ...curves, **interest** rates and volatility with the functions of ...

15

... Finally, we model separate risk premiums for the diffu- sion, jump size, and jump intensity in a single-factor term structure model. In the numerical experiments we obtain lower errors than when we assume that one of the ...

9

... an **interest** **rate** derivative product that can be de- composed in ratchet caplet contracts, for which the associated strike is recursively defined in terms of a set of forward LIBOR ...

164

... mortgage **interest** **rate** ...agreed **interest** **rate** for a seven-year ...and **interest** rates in recent times, and econometrically evaluate the impact of the subsidy on housing ...

40

... los **Interest** **Rate** Swaps (IRS) y Cross Currency Swaps (CCS),es una excelente alternativa para la administración de estos riesgos, por lo cual es necesario que los directivos del sector real colombiano se ...

26

... real **interest** **rate** (either by increasing the nomi- nal **interest** **rate** or by reducing the inflation **rate**) would lead to the accu- mulation of money balances (financial assets), which ...

18

... exchange **rate**, which had been managed inside a band at the ...substantial **interest** **rate** hike (600 basis points) following a decrease in Gdp growth and a sizable current account ...

36

... administered **interest** rates in third world economies are deliberately kept low with the objective of stimulating capital ...term **interest** rates which are the ones relevant for capital formation decisions, ...

10

... exchange **rate**, the market intervention would cause an excessive monetary contraction and the rise in the **interest** **rate** - triggering ...exchange **rate** may risk a speculative attack on the ...

48

... exchange **rate** and current account, variables of key **interest** to open economy ...country **interest** **rate** premium responds to changes in net foreign debt positions, an estimate which might prove ...

27

... that **interest** **rate** negatively affects ...real **interest** **rate** and as such, the real **interest** **rate** is negatively associated with investment ...

18

... real **interest** rates? Since the financial market is open at both ends, there is arbitration between local and external assets, as noted ...The **interest** **rate** in local currency can be expressed as the ...

12

... With the inclusion of both the world real **interest** **rate** and the expected appre- ciation of the exchange **rate** the performance of the model improves a lot. In this figure we are considering a traded ...

28

... real **interest** **rate** is computed in-model, in a way consistent with the models’ inflation ...nominal **interest** **rate** series relative to the inflation target, this eliminates the trend from the ...

26

... real **interest** **rate**, ρ t n , , but also to open economy variables such as the real exchange **rate**, q t , and the foreign level of output, y t ∗ ...

46

... the **interest** **rate** can be associated with the status of the external accounts or, alternatively, with the evolution of public finances, or with both, as the investment fund analysts and the risk ...

37