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Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
liquidity crisis counterparty risk yield curve forward curve discount curve
2010/11/1
We revisit the problem of pricing and hedging plain vanilla single-currency in-terest rate derivatives using multiple distinct yield curves for market coherent esti-mation of discount factors and forw...
This paper presents an answer to why the yield curve tends to invert one year
before a recession. The capital-based macroeconomic model used in this paper traces out
the effects of an injection of s...
Coal Mine Safety and Coal Yield: A First Look
coal mine safety coalyield panel data fix effect instrumental variables
2014/7/7
Thispaper analyzesandtests relationshipbetween coalmine mortalityand coalyield in China.Itproposesatheoryillustrating thatyieldcanbe eitherpositiveornegative relatedto mortality,depending onthree effe...
Cotton Yield Response and Economic Implications to In-Row Subsoil Tillage and Sprinkler Irrigation
Cotton Yield Economic Implications In-Row Subsoil Tillage Sprinkler Irrigation
2008/12/15
Deep tillage at a 45° angle has been a recommended practice since the mid-1970s on most Mississippi Delta cotton soils. This practice disrupts hard pans and allows deeper wetting of the soil profile w...
Irrigation Termination of Cotton: An Economic Analysis of Yield, Quality, and Market Factors
Irrigation Termination Cotton Economic Analysis Yield Quality Market Factors
2008/12/15
The decision to terminate the irrigation of cotton (Gossypium hirsutum L.) is complicated by interactions and uncertainties related to lint yield and quality, water costs, and market factors. High, me...
Correlation of Defoliation Timing Methods to Optimize Cotton Yield, Quality, and Revenue
Correlation Defoliation Timing Methods Optimize Cotton Yield Quality Revenue
2008/12/10
The inconsistent nature of timing cotton defoliation indicates the need for ongoing research in an effort to develop a more concrete set of recommendations. Defoliation timing based on mature fruiting...
The unusually poor weather that occurred during the harvest season of 2002 in the Midsouth rejuvenated an interest in the relationship between cotton yield and harvest date and rainfall. In 2002, a Mi...
Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
HJM Modelling Multiple Yield-Curve Dynamics
2010/12/13
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market p...