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~person:"Gupta, Anurag"
~person:"Gay, Gerald D."
~person:"Arak, Marcelle V."
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ECONIS (ZBW)
20
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1
Liquidity effect in OTC options markets : premium or discount?
Deuskar, Prachi
;
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of financial markets
14
(
2011
)
1
,
pp. 127-160
Persistent link: https://www.econbiz.de/10009267085
Saved in:
2
The economic determinants of interest rate option smiles
Deuskar, Prachi
;
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of banking & finance
32
(
2008
)
5
,
pp. 714-728
Persistent link: https://www.econbiz.de/10003702691
Saved in:
3
Pricing and hedging interest rate options : evidence from cap-floor markets
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of banking & finance
29
(
2005
)
3
,
pp. 701-733
Persistent link: https://www.econbiz.de/10002516999
Saved in:
4
Hedging in the possible presence of unspanned stochastic volatility : evidence from swaption markets
Fan, Rong
;
Gupta, Anurag
;
Ritchken, Peter H.
- In:
The journal of finance : the journal of the American …
58
(
2003
)
5
,
pp. 2219-2248
Persistent link: https://www.econbiz.de/10001797838
Saved in:
5
An empirical examination of the convexity bias in the pricing of interest rate swaps
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of financial economics
55
(
2000
)
2
,
pp. 239-279
Persistent link: https://www.econbiz.de/10001448506
Saved in:
6
Do daily price limits act as magnets? : The case of treasury bond futures
Arak, Marcelle V.
- In:
Journal of financial services research : JFSR
12
(
1997
)
1
,
pp. 5-20
Persistent link: https://www.econbiz.de/10001227785
Saved in:
7
Equilibrium treasury bond futures pricing in the presence of implict delivery options
Gay, Gerald D.
- In:
The journal of futures markets
11
(
1991
)
5
,
pp. 623-645
Persistent link: https://www.econbiz.de/10001110854
Saved in:
8
Fed-watching, monetary policy regimes, and the response of financial futures to money announcements
Carnes, W. S.
- In:
Review of futures markets
8
(
1989
)
3
,
pp. 384-401
Persistent link: https://www.econbiz.de/10001099133
Saved in:
9
Treasury bond futures : valuing the delivery options
Arak, Marcelle V.
- In:
The journal of futures markets
7
(
1987
)
3
,
pp. 269-286
Persistent link: https://www.econbiz.de/10001149625
Saved in:
10
The municipal-treasury futures spread
Arak, Marcelle V.
(
contributor
)
- In:
The journal of futures markets
7
(
1987
)
4
,
pp. 355-371
Persistent link: https://www.econbiz.de/10001149648
Saved in:
11
The cheapest to deliver bond on the treasury bond futures contract
Arak, Marcelle V.
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 49-74
Persistent link: https://www.econbiz.de/10001339384
Saved in:
12
Interest rate futures
Arak, Marcelle V.
- In:
Selected writings on futures markets : explorations in …
,
(pp. 3-22)
.
1985
Persistent link: https://www.econbiz.de/10001305704
Saved in:
13
A pricing anomaly in Treasury Bill futures
Kolb, Robert W.
- In:
The journal of financial research
8
(
1985
)
2
,
pp. 157-167
Persistent link: https://www.econbiz.de/10001019938
Saved in:
14
Removing bias in duration based hedging models : a note
Gay, Gerald D.
- In:
The journal of futures markets
4
(
1984
)
2
,
pp. 225-228
Persistent link: https://www.econbiz.de/10001082993
Saved in:
15
Macro versus micro futures hedges at commercial banks
Kolb, Robert W.
- In:
The journal of futures markets
4
(
1984
)
1
,
pp. 47-54
Persistent link: https://www.econbiz.de/10001083015
Saved in:
16
The effect of the tax treatment of Treasury-bill futures on their rates
Arak, Marcelle V.
- In:
The journal of futures markets
3
(
1983
)
1
,
pp. 65-73
Persistent link: https://www.econbiz.de/10001085157
Saved in:
17
Interest rate futures : concepts and issues
Gay, Gerald D.
(
contributor
)
-
1982
Persistent link: https://www.econbiz.de/10000687789
Saved in:
18
Interest rate futures
Arak, Marcelle V.
- In:
Interest rate futures : concepts and issues
,
(pp. 55-80)
.
1982
Persistent link: https://www.econbiz.de/10001258071
Saved in:
19
Are there arbitrage opportunities in the treasury-bond futures market?
Kolb, Robert W.
- In:
The journal of futures markets
2
(
1982
)
3
,
pp. 217-229
Persistent link: https://www.econbiz.de/10001080719
Saved in:
20
Managing foreign interest rate risk
Kolb, Robert W.
- In:
The journal of futures markets
2
(
1982
)
2
,
pp. 151-158
Persistent link: https://www.econbiz.de/10001080929
Saved in:
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