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BOND PRICING, INTEREST-RATE PROCESSES, AND THE LIBOR MARKET MODEL

Ser-Huang Poon and Richard Stapleton

in Asset Pricing in Discrete Time: A Complete Markets Approach

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.003.0007
Subject:
Economics and Finance, Financial Economics

‘Bond Pricing, Interest-rate Processes, and the LIBOR Market Model’ uses the complete market, pricing kernel approach to value bonds, given stochastic interest rates. To value interest-rate ... More


Holding bankers to account: A decade of market manipulation, regulatory failures and regulatory reforms

Oonagh McDonald CBE

Published in print:
2019
Published Online:
September 2019
ISBN:
9781526119438
eISBN:
9781526144577
Item type:
book
Publisher:
Manchester University Press
DOI:
10.7228/manchester/9781526119438.001.0001
Subject:
Business and Management, Finance, Accounting, and Banking

This book provides a compelling account of the rigging of benchmarks during and after the financial crisis of 2007–08. Written in clear language accessible to the non-specialist, it provides the ... More


LIBOR and Swap Market Models

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0025
Subject:
Economics and Finance, Financial Economics

A number of models have been successfully developed wherein the theoretical prices for caps, floors, and swaptions produced by the model are of the Black-76 form. In these models, discrete market ... More


Reforming benchmarks

Oonagh McDonald

in Holding bankers to account: A decade of market manipulation, regulatory failures and regulatory reforms

Published in print:
2019
Published Online:
September 2019
ISBN:
9781526119438
eISBN:
9781526144577
Item type:
chapter
Publisher:
Manchester University Press
DOI:
10.7228/manchester/9781526119438.003.0009
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter describes the effects of the Financial Stability Board review of interest rate benchmarks. The board’s report recommended a number of measures to help improve security, notably by ... More


Market Models

Claus Munk

in Fixed Income Modelling

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199575084
eISBN:
9780191728648
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199575084.003.0011
Subject:
Economics and Finance, Financial Economics

The term structure models studied in preceding chapters involve assumptions about the evolution in one or more continuously compounded interest rates, either the short rate or the instantaneous ... More


The evolution of LIBOR

Oonagh McDonald

in Holding bankers to account: A decade of market manipulation, regulatory failures and regulatory reforms

Published in print:
2019
Published Online:
September 2019
ISBN:
9781526119438
eISBN:
9781526144577
Item type:
chapter
Publisher:
Manchester University Press
DOI:
10.7228/manchester/9781526119438.003.0002
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter provides a brief history of LIBOR, the London Interbank Offered Rate, tracing both market developments and the macro-economic and regulatory environment in which it was created. ... More


Manipulation abounds

Oonagh McDonald

in Holding bankers to account: A decade of market manipulation, regulatory failures and regulatory reforms

Published in print:
2019
Published Online:
September 2019
ISBN:
9781526119438
eISBN:
9781526144577
Item type:
chapter
Publisher:
Manchester University Press
DOI:
10.7228/manchester/9781526119438.003.0003
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter charts the loss of faith in LIBOR that began to set in during the Financial Crisis, particularly following two articles in the Wall Street Journal. Investigation by the regulators ... More


Yet more banks are involved

Oonagh McDonald

in Holding bankers to account: A decade of market manipulation, regulatory failures and regulatory reforms

Published in print:
2019
Published Online:
September 2019
ISBN:
9781526119438
eISBN:
9781526144577
Item type:
chapter
Publisher:
Manchester University Press
DOI:
10.7228/manchester/9781526119438.003.0004
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter sets out the ways in which other banks manipulated LIBOR, using the same techniques and for the same reasons. As the Final Notice to UBS makes clear, the methods used were due in large ... More


Who knew what when?

Oonagh McDonald

in Holding bankers to account: A decade of market manipulation, regulatory failures and regulatory reforms

Published in print:
2019
Published Online:
September 2019
ISBN:
9781526119438
eISBN:
9781526144577
Item type:
chapter
Publisher:
Manchester University Press
DOI:
10.7228/manchester/9781526119438.003.0005
Subject:
Business and Management, Finance, Accounting, and Banking

In this chapter the focus is on the comments and claims made about LIBOR prior to the beginning of the formal investigations by the FSA and the CFTC. As usual, after any scandal is revealed, the ... More


Benchmarks

Onnig H. Dombalagian

in Chasing the Tape: Information Law and Policy in Capital Markets

Published in print:
2015
Published Online:
September 2015
ISBN:
9780262028622
eISBN:
9780262324298
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028622.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter provides an overview of the regulation of benchmarks and benchmark products. It begins with a discussion of the types of benchmarks used in financial markets, such as stock, debt and ... More


Bonds and Interest Rates

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.003.0015
Subject:
Economics and Finance, Financial Economics

In this chapter, the reader is introduced to the basic facts and concepts concerning bond markets.


Libor Market Models

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0023
Subject:
Economics and Finance, Econometrics

This chapter presents the LIBOR market models. These models, which produce lognormal interest rates, are widely used in the industry, can be calibrated to the market cap curve and used to price and ... More


Models of the Yield Curve and Term Structure

Tom P. Davis and Dmitri Mossessian

in Debt Markets and Investments

Published in print:
2019
Published Online:
June 2020
ISBN:
9780190877439
eISBN:
9780190877460
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190877439.003.0013
Subject:
Economics and Finance, Financial Economics

This chapter presents an overview of the modern state of term structure modeling techniques. It provides an analytical framework that is applicable to all short rate models and considers them from ... More


“I Think We Got Away with It”: Benchmark Manipulation

Pierre-Hugues Verdier

in Global Banks on Trial: U.S. Prosecutions and the Remaking of International Finance

Published in print:
2020
Published Online:
April 2020
ISBN:
9780190675776
eISBN:
9780190675806
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190675776.003.0002
Subject:
Law, Private International Law, Criminal Law and Criminology

This chapter examines the enforcement campaign against manipulation of interest rate and foreign exchange benchmarks by traders and other employees of global banks. After reviewing the history, ... More


Introduction: The Bank Culture Puzzle

Huw Macartney

in The Bank Culture Debate: Ethics, Values, and Financialization in Anglo-America

Published in print:
2019
Published Online:
October 2019
ISBN:
9780198843764
eISBN:
9780191879470
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198843764.003.0001
Subject:
Political Science, Political Economy

This chapter introduces the bank culture debate that took place in the political realm. It then explains that the political debate was based on a very narrow reading of bank culture, which focused on ... More


UK Responses and the Second Phase

Huw Macartney

in The Bank Culture Debate: Ethics, Values, and Financialization in Anglo-America

Published in print:
2019
Published Online:
October 2019
ISBN:
9780198843764
eISBN:
9780191879470
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198843764.003.0007
Subject:
Political Science, Political Economy

This chapter focuses on the culture of banking debate that emerged following the LIBOR scandal in 2012 in the UK. It shows a range of the harder, institutional and regulatory measures and penalties ... More


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