The Advanced Fixed Income and Derivatives Management Guide

Simozar, Saied

doi:10.1002/9781119014157

Cited by 4 publications

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“…This function can be used in a closed-form solution for accurate calculation of European bond options and assets whose returns are correlated with interest rates. This point was quantitatively discussed in Simozar (2015) for bonds and swaptions. However, in this paper we will expand the derivation and provide a more straightforward and general formula for all assets.…”

Section: Introductionmentioning

confidence: 90%

Adjustment to Risk Free Rate/ Violation of Put-Call Parity

Simozar¹

2019

AEF

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The present value of a forward contract for any asset that does not pay a dividend is calculated by discounting its forward price by the risk-free rate. We show that the discount function for assets that have a non-zero correlation with interest rates, has to be adjusted to account for the correlation between the asset and interest rates. Put-Call parity is also violated and needs to be adjusted as well for such assets. It is shown that the risk-free rate is asset dependent. The adjustment to the price is small for short dated forwards, but increases quadratically with time to maturity.

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Section: Introductionmentioning

confidence: 90%

Adjustment to Risk Free Rate/ Violation of Put-Call Parity

Simozar¹

2019

AEF

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Electromagnetic Modeling

Chen,

Hoefer

2024

Encyclopedia of RF and Microwave Engineering

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Electromagnetic modeling is a critical analysis and design methodology in various fields such as radio‐frequency (RF) and microwave engineering, antennas, radar, remote sensing, medical diagnostics, bio‐electromagnetics, physics and radio astronomy, and electromagnetic compatibility (EMC) and interference. It formulates and solves electromagnetic field problems using mathematical, physical, or computational models that relate the electromagnetic functionality of devices to their geometrical and material parameters or predict how electromagnetic fields interact with physical objects and materials. This chapter presents the most common methods for modeling electromagnetic scenarios in the frequency, the spectral, and the time domain, as well as their hybrid combinations. They are introduced as projective approximations of field solutions using the method of weighted residuals (MWR). This unified perspective best illustrates their properties, differences, and their suitability for solving a particular electromagnetic problem, thus helping the reader to appreciate the connections, similarities, and differences among the various methods. It also reflects historical and methodological developments and aims to provide a foundational understanding of current electromagnetic modeling methods.

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2017

Semi‐Markov Migration Models for Credit Risk

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The Advanced Fixed Income and Derivatives Management Guide

Cited by 4 publications

References 0 publications

Adjustment to Risk Free Rate/ Violation of Put-Call Parity

Adjustment to Risk Free Rate/ Violation of Put-Call Parity

Electromagnetic Modeling

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