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Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an efficient moment based approximation method for option pri…
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated to price increments. By modeling the marks with a suitable Markov chain, we can reproduce the strong mean-reversion of price returns known as microstructure noise. Moreover, by us…
This study develops an integrated stochastic modeling framework for pricing short and medium-maturity equity options and assessing interest-rate risk using the Heston (1993), Bates (1996), and CIR (1985) models. We calibrate the Heston model using both the Lewis (2001) Fourier inversion and the Carr-Madan (1999) FFT approach, finding near-identical parameter sets, which is consistent with the calibration stability re…
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a thorough study of cross-currency markets in the presence of collateral and incompleteness. Then we give a general treatment of collateral dislocations by describing the instantaneous…
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Euribor Path Fed (Rates).
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Euribor Path BoE (Rates).
Euribor Path BoJ (Rates).
Euribor Path PBoC (Rates).
Euribor Path RBA (Rates).
Euribor Path BoC (Rates).
EURIBOR (Rates).
Euribor Path 10Y (Rates).
Euribor Path 1M (Rates).
Euribor Path 1Y (Rates).
Euribor Path 20Y (Rates).
Euribor Path 2Y (Rates).
Euribor Path 30Y (Rates).
Euribor Path 3M (Rates).
Euribor Path 5Y (Rates).
Euribor Path 6M (Rates).
Euribor Path 7Y (Rates).
Euribor Path belly (Rates).
Euribor Path BoC (Rates).
Euribor Path BoE (Rates).
Euribor Path BoJ (Rates).
Euribor Path ECB (Rates).
Euribor Path Fed (Rates).
Euribor Path front (Rates).
Euribor Path long-end (Rates).
Euribor Path PBoC (Rates).
Euribor Path RBA (Rates).
Euribor Path ultra-long (Rates).