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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan
- In:
Algorithmic finance
10
(
2023
)
1/2
,
pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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2
U.S. dollar swap yields : an analysis of the dynamics of monthly changes
Akram, Tanweer
;
Mamun, Khawaja Abdullah al
- In:
Journal of economic issues
57
(
2023
)
2
,
pp. 522-531
Persistent link: https://www.econbiz.de/10014445024
Saved in:
3
Short-term ratebBenchmarks : the post-LIBOR regime
Tuckman, Bruce
- In:
Annual review of financial economics
15
(
2023
),
pp. 473-491
Persistent link: https://www.econbiz.de/10014426350
Saved in:
4
A monetary policy-based explanation of swap spreads in China
Fan, Longzhen
;
Hou, Xin
;
Sun, Qian
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
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5
An inquiry concerning Japanese yen swap yields
Akram, Tanweer
;
Mamun, Khawaja Abdullah al
- In:
The Japanese political economy
49
(
2023
)
4
,
pp. 346-371
Persistent link: https://www.econbiz.de/10014446727
Saved in:
6
Interest rate swaps : a comparison of compounded daily versus discrete reference rates
Jarrow, Robert A.
;
Li, Siguang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014266351
Saved in:
7
Impact of negative interest rate policy on the swap market in Japan : comparative analysis before and after yield curve control
Ito, Takayasu
- In:
The journal of corporate accounting & finance
34
(
2023
)
1
,
pp. 173-178
Persistent link: https://www.econbiz.de/10014279423
Saved in:
8
Throwing away a billion yuan, real or rand : the cost of sub-optimal hedging in high interest-rate environments
Backwell, Alex
;
Ruddock, Ralph
- In:
Applied economics
55
(
2023
)
18
,
pp. 2060-2069
Persistent link: https://www.econbiz.de/10014294859
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9
Zero Black-Derman-Toy interest rate model
Krzyżanowski, Grzegorz
;
Mordecki, Ernesto
;
Sosa, Andrés
- In:
The journal of fixed income : JFI
31
(
2022
)
3
,
pp. 93-111
Persistent link: https://www.econbiz.de/10012802460
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10
A Skellam market model for loan prime rate options
Chen, Zhanyu
;
Zhang, Kai
;
Zhao, Hongbiao
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10012817951
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11
Expected and unexpected jumps in the overnight rate : consistent management of the libor transition
Backwell, Alex
;
Hayes, Joshua
- In:
Journal of banking & finance
145
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013538970
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12
Interest rate structured products : can they improve the risk-return profile?
Fusai, Gianluca
;
Longo, Giovanni
;
Zanotti, Giovanna
- In:
The European journal of finance
28
(
2022
)
13/15
,
pp. 1481-1512
Persistent link: https://www.econbiz.de/10013532236
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13
Formelsammlung Aktien-, Zins- und Währungsderivate
Kruse, Susanne
-
2021
-
2. Auflage
Persistent link: https://www.econbiz.de/10012125589
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14
Beyond LIBOR: money markets and the illusion of representativeness
Muchimba, Lilian
;
Stenfors, Alexis
- In:
Journal of economic issues
55
(
2021
)
2
,
pp. 565-573
Persistent link: https://www.econbiz.de/10012584194
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15
Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
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16
Volatility patterns of short-term interest rate futures
Gurrola-Perez, Pedro
;
Herrerias, Renata
- In:
The European journal of finance
27
(
2021
)
16
,
pp. 1604-1625
Persistent link: https://www.econbiz.de/10012872906
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17
Risk-sensitive asset management with lognormal interest rates
Hata, Hiroaki
- In:
Asia Pacific financial markets
28
(
2021
)
2
,
pp. 169-206
Persistent link: https://www.econbiz.de/10012542737
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18
Interest rate swaps and the transmission mechanism of monetary policy : a quantile connectedness approach
Chatziantoniou, Ioannis
;
Gabauer, David
;
Stenfors, Alexis
- In:
Economics letters
204
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607795
Saved in:
19
What to expect from the lower bound on interest rates : evidence from derivatives prices
Mertens, Thomas
;
Williams, John C.
- In:
American economic review
111
(
2021
)
8
,
pp. 2473-2505
Persistent link: https://www.econbiz.de/10012614178
Saved in:
20
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
21
Life after LIBOR
Klingler, Sven
;
Syrstad, Olav
- In:
Journal of financial economics
141
(
2021
)
2
,
pp. 783-801
Persistent link: https://www.econbiz.de/10013259828
Saved in:
22
Synthetic forwards and cost of funding in the equity derivative market
Azzone, Michele
;
Baviera, Roberto
- In:
Finance research letters
41
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013336152
Saved in:
23
Wrong-way risk of interest rate instruments
Ben-Abdallah, Ramzi
;
Breton, Michèle
;
Marzouk, Oussama
- In:
The journal of credit risk : published quarterly by …
15
(
2019
)
2
,
pp. 21-44
Persistent link: https://www.econbiz.de/10012100575
Saved in:
24
LIBOR replacement : the long and winding road
Hughes, Thomas M.
- In:
The journal of structured finance
25
(
2019
)
2
,
pp. 28-34
Persistent link: https://www.econbiz.de/10012125661
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25
Mortgage dollar roll
Song, Zhaogang
;
Zhu, Haoxiang
- In:
The review of financial studies
32
(
2019
)
8
,
pp. 2955-2996
Persistent link: https://www.econbiz.de/10012033901
Saved in:
26
Scaling behaviour of Treasury rates in India
Hiremath, Gourishankar S.
;
Jha, Kritarth
;
Agarwal, Ankur
- In:
Macroeconomics and finance in emerging market economies
12
(
2019
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012176849
Saved in:
27
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
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28
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
29
Options pricing models of interest rate index : a comparative of pricing methodologies applied to the Brazilian market
Chela, João Luiz
;
Rosina, Rodolfo
- In:
International Journal of Financial Markets and …
7
(
2019
)
1
,
pp. 40-53
Persistent link: https://www.econbiz.de/10012253515
Saved in:
30
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
31
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
32
Bond and option pricing for interest rate model with clustering effects
Zhang, Xin
;
Xiong, Jie
;
Shen, Yang
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
Saved in:
33
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
34
The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo
;
Putyatin, Vladislav
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
Saved in:
35
A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst
;
Gerhart, Christoph
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
Saved in:
36
The manipulation potential of Libor and Euribor
Eisl, Alexander
;
Jankowitsch, Rainer
;
Subrahmanyam, Marti G.
- In:
European financial management : the journal of the …
23
(
2017
)
4
,
pp. 604-647
Persistent link: https://www.econbiz.de/10011770824
Saved in:
37
Do the central bank actions reduce interest rate volatility?
Marins, Jaqueline Terra Moura
;
Vicente, José Valentim …
- In:
Economic modelling
65
(
2017
),
pp. 129-137
Persistent link: https://www.econbiz.de/10011813619
Saved in:
38
Interbank interest rates : funding liquidity risk and XIBOR basis spreads
Gallitschke, Janek
;
Seifried, Stefanie
;
Seifried, Frank …
- In:
Journal of banking & finance
78
(
2017
),
pp. 142-152
Persistent link: https://www.econbiz.de/10011815126
Saved in:
39
Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei
;
Wang, Shin-yun
;
Chen, Carl R.
;
Xu, Lian-Wen
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
Saved in:
40
An ex-post analysis of the CME Group's solution to the 5-year gap issue
Ben-Abdallah, Ramzi
;
Breton, Michèle
- In:
Applied economics
49
(
2017
)
60
,
pp. 5992-6002
Persistent link: https://www.econbiz.de/10011845891
Saved in:
41
Banking regulation and the changing geography of off-balance sheet activities
D'Avino, Carmela
- In:
Economics letters
157
(
2017
),
pp. 155-158
Persistent link: https://www.econbiz.de/10011847337
Saved in:
42
Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian
;
Zhou, Xiangying
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
Saved in:
43
The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe
;
Ligato, Simone
;
Mulas, Martina
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
Saved in:
44
Factors impacting the interest rate derivatives usage in Indian commercial banks
Kumar, Dilip
- In:
Theoretical economics letters
7
(
2017
)
3
,
pp. 596-614
Persistent link: https://www.econbiz.de/10011674445
Saved in:
45
Linearized Hamiltonian of the LIBOR market model : analytical and empirical results
Tang, Pan
;
Baaquie, Belal E.
;
Du, Xin
;
Zhang, Ying
- In:
Applied economics
48
(
2016
)
10/12
,
pp. 878-891
Persistent link: https://www.econbiz.de/10011432758
Saved in:
46
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
47
Efficient and exact simulation of the Gaussian affine interest rate models
Ostrovski, Vladimir
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011577107
Saved in:
48
Note on the Smith-Wilson interest rate curve
Gach, Florian
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
Saved in:
49
Estimation of bid-ask prices for options on LIBOR based instruments
Sonono, Masimba Energy
;
Mashele, Hopolang Phillip
- In:
Finance research letters
19
(
2016
),
pp. 33-41
Persistent link: https://www.econbiz.de/10011657436
Saved in:
50
Spillovers of international interest rate swap markets and stock market volatility
Lee, Hsiu-Chuan
;
Hsu, Chih-Hsiang
;
Chien, Cheng-Yi
- In:
Managerial finance
42
(
2016
)
10
,
pp. 943-962
Persistent link: https://www.econbiz.de/10011553926
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