The credit risk components of a swap portfolio

Article Abstract:

The impact of structural and temporary credit risk changes on swap prices is investigated using the model developed by Hubner (2001) for IRS and CS. The exchange of principal and an additional correlation risk exhibits a nonnegligible impact on the contract value, which makes this phenomenon stronger for CS.

Pricing Policy, Risk (Economics), Influence, Credit market, Credit markets, Swaps (Finance), Product price

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The interrelation of price volatility and trading volume of currency options

Article Abstract:

The relation between future volatility of the U.S. dollar/ British pound exchange rate and trading volume of currency options for the British pound is studied. The results supported the hypothesis that the information-based trading drives more of trading volume than the hedging

Forecasts, trends, outlooks, Analysis, Forecasts and trends, Foreign exchange rates, Market trend/market analysis, Securities trading

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Empirical performance of alternative pricing models of currency options

Article Abstract:

The performance of the modified Black-Scholes and Heston's stochastic volatility currency option pricing models is discussed.

Econometrics & Model Building, Statistical Data Included, Prices and rates, Econometrics, Business models

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