An empirical examination of the convexity bias in the pricing of interest rate swaps

Anurag Gupta; Marti G. Subrahmanyam

Year of publication:	2000
Authors:	Gupta, Anurag ; Subrahmanyam, Marti G.
Published in:	Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 55.2000, 2, p. 239-279
Subject:	Zinsderivat \| Interest rate derivative \| Zinsstruktur \| Yield curve \| CAPM \| Derivat \| Derivative \| Währungsderivat \| Currency derivative \| EU-Staaten \| EU countries \| 1957-1996

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