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The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence

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Cited by:

  1. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
  2. Peter Van Tassel, 2020. "The Law of One Price in Equity Volatility Markets," Staff Reports 953, Federal Reserve Bank of New York.
  3. McConnell, John J. & Saretto, Alessio, 2010. "Auction failures and the market for auction rate securities," Journal of Financial Economics, Elsevier, vol. 97(3), pages 451-469, September.
  4. I‐Doun Kuo & Yueh‐Neng Lin, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 23-32, January.
  5. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, vol. 7(2), pages 99-127, August.
  6. Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
  7. Kuo, I-Doun & Lin, Yueh-Neng, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, Elsevier, vol. 18(1), pages 23-32, January.
  8. Gupta, Anurag & Subrahmanyam, Marti G., 2005. "Pricing and hedging interest rate options: Evidence from cap-floor markets," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 701-733, March.
  9. Rong Fan & Joseph Haubrich & Peter Ritchken & James Thomson, 2003. "Getting the Most Out of a Mandatory Subordinated Debt Requirement," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 149-179, October.
  10. Shi Chen & Jeng-Yan Tsai & Rosemary Jou, 2016. "Equities of scope as merger incentives under capital regulation: narrow versus synergy banking valuation," Applied Economics, Taylor & Francis Journals, vol. 48(37), pages 3508-3525, August.
  11. I‐Doun Kuo & Kai‐Li Wang, 2009. "Implied deterministic volatility functions: An empirical test for Euribor options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(4), pages 319-347, April.
  12. Antje Berndt & Peter Ritchken & Zhiqiang Sun, 2010. "On Correlation and Default Clustering in Credit Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2680-2729, July.
  13. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  14. Nicola Secomandi & Guoming Lai & François Margot & Alan Scheller-Wolf & Duane J. Seppi, 2015. "Merchant Commodity Storage and Term-Structure Model Error," Manufacturing & Service Operations Management, INFORMS, vol. 17(3), pages 302-320, July.
  15. Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(3), pages 635-672, September.
  16. Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
  17. Dai, Qiang & Singleton, Kenneth J., 2002. "Expectation puzzles, time-varying risk premia, and affine models of the term structure," Journal of Financial Economics, Elsevier, vol. 63(3), pages 415-441, March.
  18. João Pedro Vidal Nunes & Pedro Miguel Silva Prazeres, 2014. "Pricing Swaptions Under Multifactor Gaussian Hjm Models," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 762-789, October.
  19. Yunbi An & Wulin Suo, 2008. "The compatibility of one‐factor market models in caps and swaptions markets: Evidence from their dynamic hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(2), pages 109-130, February.
  20. Hitesh Doshi & Hyung Joo Kim & Sang Byung Seo, 2023. "Options on Interbank Rates and Implied Disaster Risk," Finance and Economics Discussion Series 2023-054, Board of Governors of the Federal Reserve System (U.S.).
  21. Tsai, Jeng-Yan & Hung, Wei-Ming, 2013. "Bank capital regulation in a cap option framework," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 66-74.
  22. Matthias Muck, 2012. "Spread ladder swaps—an analysis of controversial interest rate derivatives," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 269-289, June.
  23. Lee, Sangwook & Kim, Min Jae & Kim, Soo Yong, 2011. "Interest rates factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2531-2548.
  24. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2016. "The stochastic string model as a unifying theory of the term structure of interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 217-237.
  25. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
  26. Levy, Moshe & Ritov, Yaacov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management qt41x4t67m, Anderson Graduate School of Management, UCLA.
  27. Kwai S. Leung & Hon Y. Ng & Hoi Y. Wong, 2014. "Stochastic Skew in the Interest Rate Cap Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(12), pages 1146-1169, December.
  28. Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
  29. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  30. Peter Van Tassel, 2018. "Equity Volatility Term Premia," Staff Reports 867, Federal Reserve Bank of New York.
  31. Tao L. Wu & Shengqiang Xu, 2014. "A Random Field LIBOR Market Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(6), pages 580-606, June.
  32. Chuen-Ping Chang & Jyh-Horng Lin, 2010. "Bank liquidity providing in a real synergy management under a cap-based valuation," Applied Economics, Taylor & Francis Journals, vol. 42(24), pages 3161-3173.
  33. Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott, 2011. "Do interest rate options contain information about excess returns?," Journal of Econometrics, Elsevier, vol. 164(1), pages 35-44, September.
  34. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
  35. Anders B. Trolle & Eduardo S. Schwartz, 2009. "A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives," Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 2007-2057, May.
  36. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2008. "The economic determinants of interest rate option smiles," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 714-728, May.
  37. Haitao Li & Feng Zhao, 2009. "Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4335-4376, November.
  38. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2020. "Valuation of caps and swaptions under a stochastic string model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  39. Casassus, Jaime & Collin-Dufresne, Pierre & Goldstein, Bob, 2005. "Unspanned stochastic volatility and fixed income derivatives pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2723-2749, November.
  40. Massoud Heidari & Liuren Wu, 2002. "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance 0207010, University Library of Munich, Germany, revised 10 Sep 2002.
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