17,804 research outputs found
Interest rate convexity and the volatility smile
Get PDFWhen pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different strikes thereby taking into account the volatility smile. This idea is known among practitioners for pricing CMS caps. We approach the problem on a more general scale and apply the result to various examples. --interest rate options,volatility smile,convexity,,option replication
Description of the larva of Adicella cremisa Malicky 1972 and a larval key to Central European species of Adicella McLachlan 1877 (Trichoptera: Leptoceridae)
No full textGraf, Wolfram, Waringer, Johann, Dürregger, Alexander, Vitecek, Simon (2018): Description of the larva of Adicella cremisa Malicky 1972 and a larval key to Central European species of Adicella McLachlan 1877 (Trichoptera: Leptoceridae). Zootaxa 4379 (1), DOI: 10.11646/zootaxa.4379.1.
Douglas Alexander Stewart, poet, author and playwright
No full textDouglas Alexander Stewart, poet, author and playwrigh
FIGURE 6. Adicella spp., metathorax setation patterns. 6A in Description of the larva of Adicella cremisa Malicky 1972 and a larval key to Central European species of Adicella McLachlan 1877 (Trichoptera: Leptoceridae)
No full textFIGURE 6. Adicella spp., metathorax setation patterns. 6A, Adicella cremisa; 6B, Adicella reducta; 6C, Adicella filicornis.Published as part of Graf, Wolfram, Waringer, Johann, Dürregger, Alexander & Vitecek, Simon, 2018, Zootaxa 4379 (1), DOI: 10.11646/zootaxa.4379.1.4, http://zenodo.org/record/117234
Data for "Machine learning-based sampling of virtual experiments within the full stress state"
No full textData for "Machine learning-based sampling of virtual experiments within the full stress state" by Alexander Wessel, Lukas Morand, Alexander Butz, Dirk Helm and Wolfram Volk.The authors gratefully acknowledge funding from the Federal Ministry for Economic Affairs and Climate Action via the German Federation of Industrial Research Associations – AiF (Arbeitsgemeinschaft industrieller Forschungsvereinigungen e.V.) within the scope of the programme for Industrial Collective Research (Industrielle Gemeinschaftsforschung, IGF), grant numbers 19707 N and 21466 N, and the German Research Foundation (Deutsche Forschungsgemeinschaft, DFG), project number 415804944
Cross currency swap valuation
Get PDFCross currency swaps are powerful instruments to transfer assets or liabilities from one currency into another. The market charges for this a liquidity premium, the cross currency basis spread, which should be taken into account by the valuation methodology. We describe and compare two valuation methods for cross currency swaps which are based upon using two different discounting curves. The first method is very popular in practice but inconsistent with single currency swap valuation methods. The second method is consistent for all swap valuations but leads to mark-to-market values for single currency off market swaps, which can be quite different to standard valuation results. --interest rate swap,cross currency swap,basis spread
Wolfram BRANDES, Alexander DEMANDT, Hartmut LEPPIN, Helmut KRASSER & Peter VON MÖLLENDORFF (Ed.), Millennium 1/2004. Jahrbuch zu Kultur und Geschichte des ersten Jahrtausends n. Chr.
No full textSchamp Jacques. Wolfram BRANDES, Alexander DEMANDT, Hartmut LEPPIN, Helmut KRASSER & Peter VON MÖLLENDORFF (Ed.), Millennium 1/2004. Jahrbuch zu Kultur und Geschichte des ersten Jahrtausends n. Chr.. In: L'antiquité classique, Tome 75, 2006. pp. 687-689
Wolfram Krehmer, Zur Begegnung zwischen Odysseus und Athene (Od. 13, 187-440). Inaugural -Dissertation der Philosophischen Fakultät der Friedrich-Alexander-Universität
No full textBodson Liliane. Wolfram Krehmer, Zur Begegnung zwischen Odysseus und Athene (Od. 13, 187-440). Inaugural -Dissertation der Philosophischen Fakultät der Friedrich-Alexander-Universität. In: L'antiquité classique, Tome 45, fasc. 1, 1976. pp. 221-222
Wolfram Brandes, Alexander Demandt, Hartmut Leppin, Helmut Krasser & Peter von Möllendorff (Ed), Millennium 2/ 2005. Jahrbuch zu Kultur und Geschichte des ersten Jahrtausends n. Chr, 2005
No full textSchamp Jacques. Wolfram Brandes, Alexander Demandt, Hartmut Leppin, Helmut Krasser & Peter von Möllendorff (Ed), Millennium 2/ 2005. Jahrbuch zu Kultur und Geschichte des ersten Jahrtausends n. Chr, 2005. In: L'antiquité classique, Tome 77, 2008. pp. 864-866
Wolfram Brandes, Alexander Demandt, Hartmut Leppin, Helmut Krasser & Peter von Möllendorff (Ed.), Millennium 3/ 2006. Jahrbuch zu Kultur und Geschichte des ersten Jahrtausends n. Chr, 2006
No full textSchamp Jacques. Wolfram Brandes, Alexander Demandt, Hartmut Leppin, Helmut Krasser & Peter von Möllendorff (Ed.), Millennium 3/ 2006. Jahrbuch zu Kultur und Geschichte des ersten Jahrtausends n. Chr, 2006. In: L'antiquité classique, Tome 77, 2008. pp. 866-867
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