In this work, we try to connect the techniques of stochastic analysis with behavioral finance for pricing a swap in the light of the consequences of recent financial crisis. Apart all, that could be constitute one example of possible interactions between different fields of research. After the crisis, reconstruction of zero-coupon interest rates curve has faced particular features, since the use of swaps with different maturities has caused different implied curves. In this context, we consider the example of the contracts signed by Local Government Units and we price them, taking in account possible behavioral benefits which can affect their decisions.

PRICING A SWAP WITH BEHAVIORAL BENEFIT FOR A LOCAL GOVERNMENT UNIT: THE DISCRETE CASE

COSTA, Vincenzo;DELLI QUADRI, Angelo
2010

Abstract

In this work, we try to connect the techniques of stochastic analysis with behavioral finance for pricing a swap in the light of the consequences of recent financial crisis. Apart all, that could be constitute one example of possible interactions between different fields of research. After the crisis, reconstruction of zero-coupon interest rates curve has faced particular features, since the use of swaps with different maturities has caused different implied curves. In this context, we consider the example of the contracts signed by Local Government Units and we price them, taking in account possible behavioral benefits which can affect their decisions.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11580/14820
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
social impact