A micro model of the federal funds market

Article Abstract:

Decisions made by participants in the U.S. federal funds market are modeled, and the demand for federal funds by banking institutions is analyzed from the viewpoint of bank valuation. The model and analysis support and help to explain the following three phenomena: (1) large banks are net purchasers of federal funds while small banks are net sellers of such funds, (2) federal fund rates are positive in spread, when compared to short-term money market instruments, and (3) the spread for federal funds is related to the U.S. Federal Reserve monetary policies. The research demonstrates the importance of micro modeling, which is discussed following the paper's presentation.

United States, Banking industry, Valuation, Federal funds market (United States)

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Term structure movements and pricing interest rate contingent claims

Article Abstract:

A methodology for pricing interest rate contingent claims, the arbitrage-free interest rate movements model, is developed. Interest rate contingent claims, such as interest rate options, floating rate notes and callable bonds, are characterized by finite lives and prices that are dependent on term structure movements. As opposed to earlier pricing models in which the term structure and contingent claims are developed from an equilibrium context, a model is developed in which the term structure is taken as given, and feasible stochastic term structure movements that do not allow arbitrage profits are derived.

Prices and rates, Options (Finance), Interest rate futures, Financial research

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Wanna dance? How firms and underwriters choose each other

Article Abstract:

A model analyzing how issuers of securities select underwriters for their public offerings is presented.

United Kingdom, Investment Banking and Securities Dealing, Investment Banking, Contracts & orders received, Securities issued, listed, Security brokers and dealers, Contracts & orders let, Venture Analysis, Analysis, Investment banks, Contracts, Securities, Business enterprises, Contract agreement, Going public (Securities), Initial public offerings, Company securities, Company public offering

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