Traductions de „term structure“ dans le dictionnaire anglais » allemand

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term structure

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More formal mathematical descriptions of this relation are often called the term structure of interest rates.

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In the latter case, one calibrates the model parameters to fit both the current term structure of interest rates (yield curve), and the yield curve's volatility structure.

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A related concept is that of term structure of volatility, which describes how (implied) volatility differs for related options with different maturities.

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This system indirectly influences the term structure of interest rates in the whole economy.

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A collection of such volatilities forms a volatility term structure, similar to the yield curve.

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The cost of debt is computed by taking the rate on a risk-free bond whose duration matches the term structure of the corporate debt, then adding a default premium.

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For this reason, it is important the valuation model is well calibrated to the volatility term structure of the underlying, at least at the strikes implied by the range.

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The term structure of spot returns is recovered from the bond yields by solving for them recursively, by forward substitution.

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His research focuses on fixed income markets, term structure, derivatives, credit risk, computational finance and the role of arbitrage in financial markets.

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Analysis of the term structure of implied volatilities.

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