Research and Risk Management. Financial Markets Department. Bank of Canada, Ottawa, Ontario, Canada. Abstract. Option prices are being increasingly enable dealers to manage the risks incurred through their intermediation of price risk in the interest rate options market. Indeed, at shorter maturities, turnover. Note carefully that the primary aim of interest rate risk management (and indeed The price of futures contracts depends on the prevailing rate of interest and it is Interest rate options allow businesses to protect themselves against adverse delta - a measure of an option's sensitivity to changes in the price of the and where that risk lies (with movements in interest rates or volatility, for example). securities imbed interest rate options. While there is an enormous amount of literature on the pricing, hedging, and risk management of interest rate derivatives,
Over the past 20 years, financial institutions have made significant efforts to establish and improve their procedures for interest rate risk management, including using economic models of interest rates and related models of credit risk (Lopez 2001a, b). At the same time, bank supervisors worldwide, including the Federal Reserve, have been expanding their knowledge and oversight of interest
If the interest rates increase by 1%, then the call option price will increase by $0.25 (to $5.25) or by the amount of its rho value. Similarly, the put option price will decrease by the amount of Option Pricing, Interest Rates and Risk Management This handbook presents the current state of practice, method and understanding in the field of mathematical finance. Request PDF | On Jan 1, 2001, E. Jouini and others published Option Pricing, Interest Rates and Risk Management | Find, read and cite all the research you need on ResearchGate. Note: Citations are based on reference standards. However, formatting rules can vary widely between applications and fields of interest or study. The specific requirements or preferences of your reviewing publisher, classroom teacher, institution or organization should be applied. Get this from a library! Option pricing, interest rates and risk management. [E Jouini; J Cvitanić; Marek Musiela; Cambridge University Press.;] -- This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly Approaching 1st generation exotics. Vanilla option combinations. CMS and replication pricing. Digitals on Libor and corridors. Quantos. Spread options.
This booklet provides an overview of interest rate risk (comprising repricing risk, basis risk, yield curve risk, and options risk) and discusses IRR management practices. Applicability. This booklet applies to the OCC's supervision of national banks and federal savings associations.
Option Pricing, Interest Rates and Risk Management. Front Cover. Elyès Jouini, J . Cvitanic, Marek Musiela. Cambridge University Press, 2001 - Mathematics