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Derivati e enti locali: commissioni o ipotesi implicite? Il caso del Long Term Collar Swap

Author

Listed:
  • Carlo Domenico Mottura

Abstract

I contratti del tipo Collar Swap con scadenza a lungo termine rappresentano una tipologia di contratti derivati che è stata oggetto, in questi ultimi anni, di numerose operazioni di finanza derivata da parte di enti locali italiani. Nel lavoro si studia, dal punto di vista tecnico, il problema dell’esistenza e del valore della commissione implicita nel Mark-to-Market del Derivato quotato inizialmente dalla Banca e risultante dal contratto. Parole chiave: strumenti derivati, enti locali, mark-to-market, commissione implicita, volatilità implicita.

Suggested Citation

  • Carlo Domenico Mottura, 2008. "Derivati e enti locali: commissioni o ipotesi implicite? Il caso del Long Term Collar Swap," Departmental Working Papers of Economics - University 'Roma Tre' 0099, Department of Economics - University Roma Tre.
    • Handle: RePEc:rtr:wpaper:0099
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