In this thesis, the interest rates derivatives and their valuation based on the future development of interest rates are presented. The Hull-White model focusing on the modeling of the instantaneous spot rates is described in detail. The model is calibrated to the market caplet volatilities and is used to evaluate various interest rates derivatives. The main emphasis is put on the LIBOR market model describing the development of set of forward rates. There are presented and in detail discussed results of the calibration of LMM model on the market swaption volatilities. At the end the two models are compared.

Este trabalho tem como objetivo analisar o regime jurídico do juro em negócio financeiro e a expressão dos efeitos que se colhem no plano da ordem social. O que se pretende demonstrar é como o direito regula a matéria em face do papel que o juro desempenha no encaminhamento do fluxo monetário, influenciando de maneira decisiva o crédito e, por conseguinte, a atividade produtiva do Estado. Para tanto, dividiu-se o presente estudo num exame do juro sob uma perspectiva micro e macrojurídica. Primeiro, o juro foi apresentado em face da noção de preço, momento em que a análise da especulação como motivação da liquidez revelou que os fluxos monetários em direção aos particulares se ajustam em função da participação do Estado na renda social. Em seguida, foi realizado um estudo detalhado acerca do regime jurídico brasileiro do juro, bem como da limitação dos juros em função dos princípios do equilíbrio econômico-financeiro e da vedação ao enriquecimento sem causa. A última parte do trabalho pretendeu expor a multilateralidade de efeitos decorrente da prática de juros, concluindo-se pela necessidade em se considerar na sua composição sua vertente dinâmica, com exame detalhado da taxa básica de juros e suas peculiaridades. Concluiu-se, portanto, que a manipulação da taxa básica de juros como hoje é feita, a despeito de conformada aos limites dos textos normativos que regulam o sistema financeiro, revela a ilegitimidade da atuação do Estado, decorrente do desvio de função dos mecanismos de controle da moeda e do crédito. / This paper aims to examine the body of law which governs the interest rate in the credit and its effects in social order. The purpose is to demonstrate how the law governs that matter in view of the role played by the interest in conducting the cash flow, influencing the credit and, therefore, the productive activity of the State. Thus, the present study was divided into the examination of interest rate from a micro and a macro legal perspective. First of all, a study of interest rate by the notion of price was presented. At the moment, the analysis of speculation as motivation of liquidity revealed that cash flows towards individuals adjust according to the State\'s participation in social income. Second, it was conducted a detailed study on the interest rate legal system as well as their limitation imposed by the principles of economic and financial balance and the unjust enrichment. The last part of the work sought to explain the multilateral effects that arise from the practice of interest rate. At the time, it was studied the need to consider the dynamic aspect in the composition of interest rate, with a detailed examination of the SELIC rate and its specificities. Therefore, it was concluded that the management of SELIC rate as is done today, despite conformed to the limits of the law which regulate the financial system, reveals the States action illegitimacy, resulted from the misuse of the mechanisms of money and credit control.

by Hui Chi Hang and Wong Wai Ming. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 89-92). / ABSTRACT --- p.iv / TABLE OF CONTENT --- p.v / Chapter Page / Chapter PART I : --- Interest Rate Swap --- p.1 / Chapter 1. --- INTRODUCTION AND HISTORY OF SWAP --- p.2 / Chapter 2. --- INTRODUCTION TO INTEREST RATE SWAP --- p.6 / Chapter 3. --- ECONOMICS AND PRICING OF INTEREST RATE SWAP --- p.8 / "Exhibit I - Example 1,2 & 3" --- p.19 / Chapter 4. --- APPLICATION OF INTEREST RATE SWAP --- p.25 / Chapter PART II: --- Currency Swap --- p.27 / Chapter 5. --- INTRODUCTION TO CURRENCY SWAP --- p.28 / Chapter 6. --- ECONOMICS AND PRICING OF CURRENCY SWAP AND LTFX CONTRACTS --- p.30 / Exhibit II - Example 4 --- p.38 / Chapter Part III : --- Implication of Swap in Major Markets --- p.41 / Chapter 7. --- MAJOR SWAP MARKETS --- p.42 / Chapter 8. --- THE HONG KONG SWAP MARKET --- p.49 / Chapter Part IV : --- Risks and Control in Swaps --- p.53 / Chapter 9. --- COMMON RISKS AND CONTROL IN SWAPS --- p.54 / Appendix --- p.60 / Chapter I. --- INTRODUCTION TO OTHER MAJOR SWAPS --- p.61 / Chapter II. --- USER GUIDE FOR USING THE DISKETTE FOR PRICING OF SWAPS --- p.71 / Chapter III. --- QUESTIONNAIRE FOR INTERVIEWS --- p.79 / Chapter IV. --- BRIEF REPORT ON INTERVIEWS --- p.81 / Bibliography --- p.89 / Exhibit I - Example 1 --- p.93 / Exhibit I - Example 2 --- p.94 / Exhibit I - Example 3 --- p.95 / Exhibit II - Example 4 --- p.96 / "Diskette for SWAP. XLS for pricing of interest rate swap, and LTFX contracts" --- p.97

The goal of thesis is to clarify the nature of the exchange rate and interest rate risk and the possibility to describe the management of these risks. It represents the individual tools used to ensure the exchange rate and interest rate risk and the specific examples explaining the principle of their functioning. The thesis is divided into three parts - the exchange rate hedging, interest rate hedging and risk management, or a summary of each procedure, a brief guide for managers of companies involved in the risk of fluctuations in exchange rates or interest rates touching. Case studies of specific examples shows the possibilities of treatment of exchange rate risk - the exporter trading currency pair EUR / CZK.

An in depth study of the pricing of Game contingent claims under a general diffusion market model, in which interest rate is non constant, is presented. With the idea of providing a few numerical examples of the valuation of such claims, we present a detailed description of a Bootstrapping procedure to obtain interest rate information from Swaps rates. We also present a Stripping procedure that can be used to obtain initial spot (caplet) volatility from Market quotes on Caps/FLoors. These methods are of general application and could be used in the calibration of diffusion models of interest rate. Then we show several examples of calibration of the Hull--White model of interest rates. Our calibration examples are later used in the numerical approximation of the value of a particular form of Game option.

In this paper, we have employed non-linear model reexamine real interest parity (RIP) of five European economies with respect to the US. We focus on using linear and nonlinear unit root tests to test real interest rate differentials (RIRD). And we add time trend in the logistic and exponential smooth transition regression models to monthly data. The results are as follows. First, the evidence for the full-sample is favorable using three traditional unit root tests and one powerful nonlinear unit root test. Almost all economics are support real interest parity. Second, we use nonlinear error correction model to find which factors influence on RIRD. There are three economics influenced by both domestic and foreign factors at the same time.

In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT. Monetary policy instruments of Central Bank may change in the course of time or monetary policy could be executed by more than one instrument. Therefore, as the political interest rate would be insufficient in the calculation of the effect of monetary policy on loan interest rates of the banks, Government Dept Securities&rsquo / premiums are used instead of the political interest rates in this study to make it reflect the policies of central bank more clearly as a whole. Among the Government Dept Securities that have different maturity structure, benchmark bonds that are adapted to the expected political interest rate changes and that react to the unexpected interest rate changes at the high rate (reaction coefficient 0.983) are used. In order to weight the cointegration relation between interest rates, unrestricted error correction model is established and it is determined by Bound Test that there is a long-term relation between each interest rate and interest rate of benchmark bond. After a cointegration relation is determined among the serials, autoregressive distributed lag model is used to determine the level of transitivity and it is determined that monetary policy decisions affect the banking interest rate at 77% level and by 13 weeks delay on average.

Este trabalho tem como objetivo analisar o regime jurídico do juro em negócio financeiro e a expressão dos efeitos que se colhem no plano da ordem social. O que se pretende demonstrar é como o direito regula a matéria em face do papel que o juro desempenha no encaminhamento do fluxo monetário, influenciando de maneira decisiva o crédito e, por conseguinte, a atividade produtiva do Estado. Para tanto, dividiu-se o presente estudo num exame do juro sob uma perspectiva micro e macrojurídica. Primeiro, o juro foi apresentado em face da noção de preço, momento em que a análise da especulação como motivação da liquidez revelou que os fluxos monetários em direção aos particulares se ajustam em função da participação do Estado na renda social. Em seguida, foi realizado um estudo detalhado acerca do regime jurídico brasileiro do juro, bem como da limitação dos juros em função dos princípios do equilíbrio econômico-financeiro e da vedação ao enriquecimento sem causa. A última parte do trabalho pretendeu expor a multilateralidade de efeitos decorrente da prática de juros, concluindo-se pela necessidade em se considerar na sua composição sua vertente dinâmica, com exame detalhado da taxa básica de juros e suas peculiaridades. Concluiu-se, portanto, que a manipulação da taxa básica de juros como hoje é feita, a despeito de conformada aos limites dos textos normativos que regulam o sistema financeiro, revela a ilegitimidade da atuação do Estado, decorrente do desvio de função dos mecanismos de controle da moeda e do crédito. / This paper aims to examine the body of law which governs the interest rate in the credit and its effects in social order. The purpose is to demonstrate how the law governs that matter in view of the role played by the interest in conducting the cash flow, influencing the credit and, therefore, the productive activity of the State. Thus, the present study was divided into the examination of interest rate from a micro and a macro legal perspective. First of all, a study of interest rate by the notion of price was presented. At the moment, the analysis of speculation as motivation of liquidity revealed that cash flows towards individuals adjust according to the State\'s participation in social income. Second, it was conducted a detailed study on the interest rate legal system as well as their limitation imposed by the principles of economic and financial balance and the unjust enrichment. The last part of the work sought to explain the multilateral effects that arise from the practice of interest rate. At the time, it was studied the need to consider the dynamic aspect in the composition of interest rate, with a detailed examination of the SELIC rate and its specificities. Therefore, it was concluded that the management of SELIC rate as is done today, despite conformed to the limits of the law which regulate the financial system, reveals the States action illegitimacy, resulted from the misuse of the mechanisms of money and credit control.

Submitted by isabela.moljf@hotmail.com (isabela.moljf@hotmail.com) on 2017-07-04T12:31:19Z No. of bitstreams: 1 lucianirodriguespaiva.pdf: 1708723 bytes, checksum: 6cb4ce038cd3c7ff8ca7f499d9facdb3 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2017-08-08T14:47:17Z (GMT) No. of bitstreams: 1 lucianirodriguespaiva.pdf: 1708723 bytes, checksum: 6cb4ce038cd3c7ff8ca7f499d9facdb3 (MD5) / Made available in DSpace on 2017-08-08T14:47:17Z (GMT). No. of bitstreams: 1 lucianirodriguespaiva.pdf: 1708723 bytes, checksum: 6cb4ce038cd3c7ff8ca7f499d9facdb3 (MD5) Previous issue date: 2017-06-14 / Este trabalho tem como objetivo estudar os efeitos da transparência econômica e da clareza do Banco Central do Brasil (BCB) sobre a volatilidade das taxas de juros de longo prazo. Para tal, incluiu-se a estrutura a termo da taxa de juros em um modelo novo-keynesiano de economia aberta e com governo. Os resultados dos modelos com clareza e com transparência do BCB enfatizam a queda da volatilidade destas taxas, uma vez que a autoridade monetária publicou informações sobre o futuro da taxa básica de juros. Além disso, nos modelos com clareza do BCB, os choques de política monetária têm efeitos mais suaves e duradouros sobre os juros futuros, o que indica dominância da ferramenta forward guidance (clareza do BCB) na determinação destas taxas. / This paper aims to study the effects of economic transparency and the clarity of the Central Bank of Brazil on the volatility of long - term interest rates. For this purpose, the term structure of the interest rate was included in a new-keynesian model of open economy and with government. The results of the models with clarity and transparent BCB emphasize the fall in the volatility of these rates, since the monetary authority published information on the future of the basic interest rate. Moreover, in models with clarity, monetary policy shocks have smoother and longer-term effects on future interest rates, indicating the dominance of the forward guidance (BCB’s clarity) tool in determining these rates.

This master´s thesis examines the development of real estate financing in relation to the credit crunch. Accordnig to main causes of fluctuations in history, comparing interest rates, mortgage loans, property development and investment in time, it models the evolution of optimal interest rates of real estate market. The loans’ optimal parameters with combination of types of bank financing in the real estate market with regard to its sustainable development as a separate and independent global market with strong inclusion among the other market sectors, are formed there. In this dissertation the analysis of financing methods will be used, comparative method of commercial banks‘ interest rate and analysis of commercial interest rates‘ structure. The result of the work we expect to be optimistic, realistic and pessimistic scenarios of futher development of real estate finance market and the model of the optimal interest rates‘ structure.