Davies, J.R. and Fui, C.K. and Hillier, David J. and Marshall, Andrew P. (2004) Pricing interest rate swaps in Malaysia. Review of Pacific Basin Financial Markets and Policies, 7 (4). pp. 493-507. ISSN 0219-0915Full text not available in this repository. (Request a copy from the Strathclyde author)
This paper compares the theoretical price of interest rate swaps implied from the yield curve with the actual Kuala Lumpur Interbank Offer Rates used for swap resets in the Malaysian swap market for both semi-annual and annual interest rate swaps between 1996 and 2002. As far as we are aware no previous paper has considered pricing swaps in a less established derivative markets. Our empirical results indicate significant and persistent differences between the theoretical implied price and the actual reset price for both swaps over the sample period. This finding has implications for traders and banks in pricing swaps in Malaysia and more generally for pricing swaps in less established or illiquid markets or where capital controls have been introduced.
|Keywords:||pricing, interest rate, malaysia, swap market, Finance, Finance, Economics and Econometrics|
|Subjects:||Social Sciences > Finance|
|Department:||Strathclyde Business School > Accounting and Finance|
|Depositing user:||Strathprints Administrator|
|Date Deposited:||06 Jul 2007|
|Last modified:||22 Mar 2017 09:19|