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On the valuation of an option to exchange interest rate for another

Article Abstract:

Two mathematical models were used to evaluate the the pricing of a European option on the difference of two interest rates. The valuation of yield-curve spread options were used to stress the significance of correlations. Results indicate that one-factor models are ineffective for valuing such options. Level of changeability of the term structure and its shape are crucial in valuing a certain type of interest rate contingent claims.

Author: Fu, Qiang
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1996
Models, Options (Finance), Futures, Hybrid instruments (Finance), Hybrid instruments (Securities)

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Bank capital regulation and the valuation effects of Latin American debt moratoriums

Article Abstract:

An analysis of the impact of Mexican and Bolivian debt moratoriums on bank share returns is presented. The analysis focuses on the possible influence of bank capital regulation on these returns. The hypothesis that capital deficientbanks face greater sanctions from maintaining regulatory costs is examined. It is shown that debt moratoriums exhibit negative impact on deficient banks.

Author: Slovin, Myron B., Jayanti, Subbarao V.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1993
Economic aspects, Laws, regulations and rules, Latin America, Debt, Bank capital

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Valuation of adjustable rate mortgages with automatic stretching maturity

Article Abstract:

Research into the Hong Kong mortgage market is presented, with focus on a comparison of the valuation of adjustable rate mortgages with variable tenor with the valuation of variable payment fixed-tenor mortgages.

Author: Ying-Foon Chow, Huang, Charles, Ming Liu
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2000
Home Mortgages, Finance, Housing, Hong Kong, Fixed rate mortgages, Adjustable rate mortgages

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Subjects list: Research
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