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Working paper / National Bureau of Economic Research, Inc.
Advances in futures and options research : a research annual
Journal of financial and quantitative analysis : JFQA
The journal of futures markets
137
International journal of theoretical and applied finance
33
The journal of fixed income
29
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
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24
The journal of computational finance
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Review of futures markets
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15
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15
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Europäische Hochschulschriften / 5
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Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Selected writings on futures markets : explorations in financial futures markets
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Interest rate modelling after the financial crisis
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International review of financial analysis
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Interest rate futures : concepts and issues
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ECONIS (ZBW)
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Benchmark interest rates when the government is risky
Augustin, Patrick
;
Chernov, Mikhail
;
Schmid, Lukas
; …
-
2019
Persistent link: https://www.econbiz.de/10012136990
Saved in:
2
Centralized trading, transparency, and interest rate swap market liquidity : evidence from the implementation of the Dodd-Frank Act
Benos, Evangelos
;
Payne, Richard
;
Vasios, Michalis
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10012195554
Saved in:
3
Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas
;
Weber, Michael
-
2016
Persistent link: https://www.econbiz.de/10011585385
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4
Banks' risk exposures
Begenau, Juliane
;
Piazzesi, Monika
;
Schneider, Martin
-
2015
Persistent link: https://www.econbiz.de/10011308062
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5
The information in long-maturity forward rates : implications for exchange rates and the forward premium anomaly
Boudoukh, Jacob
;
Richardson, Matthew
;
Whitelaw, Robert F.
-
2005
Persistent link: https://www.econbiz.de/10003239795
Saved in:
6
The two sides of derivatives usage : hedging and speculating with interest rate swaps
Chernenko, Sergey
;
Faulkender, Michael
- In:
Journal of financial and quantitative analysis : JFQA
46
(
2011
)
6
,
pp. 1727-1754
Persistent link: https://www.econbiz.de/10009623284
Saved in:
7
The market price of credit risk : an empirical analysis of interest rate swap spreads
Liu, Jun
;
Longstaff, Francis A.
;
Mandell, Ravit E.
-
2002
Persistent link: https://www.econbiz.de/10001675869
Saved in:
8
A joint framework for consistently pricing interest rates and interest rate derivatives
Heidari, Massoud
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
3
,
pp. 517-550
Persistent link: https://www.econbiz.de/10003887360
Saved in:
9
Discontinuous interest rate processes : an equilibrium model for bond option prices
Attari, Mukarram
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
3
,
pp. 293-322
Persistent link: https://www.econbiz.de/10001453389
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10
Predictable changes in yields and forward rates
Backus, David
(
contributor
)
-
1998
Persistent link: https://www.econbiz.de/10000654976
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11
The valuation of default risk in corporate bonds and interest rate swaps
Nielsen, Soren S.
- In:
Advances in futures and options research : a research annual
9
(
1997
),
pp. 175-196
Persistent link: https://www.econbiz.de/10001226756
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12
Negative option values implicit in extendable Canadian treasury bonds
Athanassakos, George
- In:
Advances in futures and options research : a research annual
9
(
1997
),
pp. 83-110
Persistent link: https://www.econbiz.de/10001226770
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13
Nonparametric pricing of interest rate derivative securities
Aït-Sahalia, Yacine
-
1995
Persistent link: https://www.econbiz.de/10000923501
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14
Valuation of two-factor term structure models
Goldman, D.
;
Heath, D.
;
Kentwell, Glenn
;
Platen, Eckhard
- In:
Advances in futures and options research : a research annual
8
(
1995
),
pp. 263-291
Persistent link: https://www.econbiz.de/10001211280
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15
A one-factor lognormal Markovian interest rate model : theory and implementation
Li, Anlong
- In:
Advances in futures and options research : a research annual
8
(
1995
),
pp. 229-239
Persistent link: https://www.econbiz.de/10001211283
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16
The short-run dynamics of the price adjustment to new information
Ederington, Louis H.
- In:
Journal of financial and quantitative analysis : JFQA
30
(
1995
)
1
,
pp. 117-134
Persistent link: https://www.econbiz.de/10001218108
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17
The construction of a path-independent interest rate tree : the model of Heath, Jarrow and Morton
Munnik, Jeroen F. de
- In:
Advances in futures and options research : a research annual
7
(
1994
),
pp. 135-145
Persistent link: https://www.econbiz.de/10001196349
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18
A reexamination of lattice procedures for interest rate-contingent claims
Tian, Yisong Sam
- In:
Advances in futures and options research : a research annual
7
(
1994
),
pp. 87-111
Persistent link: https://www.econbiz.de/10001196351
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19
The end-of-month delivery options implicit in the treasury bond futures contract
Hegde, Shantaram P.
- In:
Advances in futures and options research : a research annual
6
(
1993
),
pp. 157-178
Persistent link: https://www.econbiz.de/10001145846
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20
The term structure of interest rates and the basis for financial futures
Livingston, Miles
- In:
Advances in futures and options research : a research annual
6
(
1993
),
pp. 117-135
Persistent link: https://www.econbiz.de/10001145848
Saved in:
21
Bond option pricing based on a model for the evolution of bond prices
Hull, John
- In:
Advances in futures and options research : a research annual
6
(
1993
),
pp. 1-13
Persistent link: https://www.econbiz.de/10001145857
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22
Testing the Heath-Jarrow-Morton - Ho-Lee model of interest rate contingent claims pricing
Flesaker, Bjorn
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
4
,
pp. 483-495
Persistent link: https://www.econbiz.de/10001160498
Saved in:
23
One-factor interest-rate models and the valuation of interest-rate derivative securities
Hull, John
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
2
,
pp. 235-254
Persistent link: https://www.econbiz.de/10001149611
Saved in:
24
Exact solutions for futures and European futures options on pure discount bonds
Chen, Ren-Raw
- In:
Journal of financial and quantitative analysis : JFQA
27
(
1992
)
1
,
pp. 97-107
Persistent link: https://www.econbiz.de/10001122224
Saved in:
25
Option exercises : evidence from the Treasury bond futures option market
Overdahl, James A.
- In:
Advances in futures and options research : a research annual
5
(
1991
),
pp. 217-225
Persistent link: https://www.econbiz.de/10001123287
Saved in:
26
A simple time-varying binomial model for the valuation of interest rate-contingent claims
Ronn, Ehud I.
- In:
Advances in futures and options research : a research annual
5
(
1991
),
pp. 89-111
Persistent link: https://www.econbiz.de/10001123294
Saved in:
27
Day-of-the-week effects in financial futures : an analysis of GNMA, T-bond, T-note, and T-bill contracts
Tashjian, Elizabeth
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
1
,
pp. 23-44
Persistent link: https://www.econbiz.de/10001102371
Saved in:
28
Futures prices on yields, forward prices, and implied forward prices from term structure
Sundaresan, Suresh M.
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
3
,
pp. 409-424
Persistent link: https://www.econbiz.de/10001113528
Saved in:
29
The risk-neutral value of the early arbitrage option : a note
Duffie, Darrell
- In:
Advances in futures and options research : a research annual
4
(
1990
),
pp. 107-110
Persistent link: https://www.econbiz.de/10001101740
Saved in:
30
Evaluation of complex sinking-fund options by backward-induction methods
Jamshidian, Farshid
- In:
Advances in futures and options research : a research annual
4
(
1990
),
pp. 83-106
Persistent link: https://www.econbiz.de/10001101741
Saved in:
31
Pricing options on multiple assets
Cheyette, Oren
- In:
Advances in futures and options research : a research annual
4
(
1990
),
pp. 69-81
Persistent link: https://www.econbiz.de/10001101742
Saved in:
32
The preference-free determination of bond and option prices from the spot interest rate
Jamshidian, Farshid
- In:
Advances in futures and options research : a research annual
4
(
1990
),
pp. 51-67
Persistent link: https://www.econbiz.de/10001101743
Saved in:
33
Quality option profits, switching option profits, and variation margin costs : an evaluation of their size and impact on treasury bond futures prices
Barnhill, Theodore M.
- In:
Journal of financial and quantitative analysis : JFQA
25
(
1990
)
1
,
pp. 65-86
Persistent link: https://www.econbiz.de/10001082513
Saved in:
34
Treasury bill rates in the 1970s and 1980s
Hendershott, Patric H.
;
Peek, Joe
-
1989
Persistent link: https://www.econbiz.de/10000773056
Saved in:
35
Synthetic eurocurrency interest rate futures contracts : theory and evidence
Koh, Annie
;
Levich, Richard M.
-
1989
Persistent link: https://www.econbiz.de/10000774262
Saved in:
36
T-bond futures prices : cheapest to deliver versus the index
Castelino, Mark G.
- In:
Advances in futures and options research : a research annual
3
(
1988
),
pp. 291-300
Persistent link: https://www.econbiz.de/10001081723
Saved in:
37
Structural inefficiencies in municipal bond futures
Arnott, Robert D.
- In:
Advances in futures and options research : a research annual
2
(
1987
),
pp. 313-319
Persistent link: https://www.econbiz.de/10001081764
Saved in:
38
An empirical examination of the T-bond futures (call) options markets under conditions of constant and changing variance rates
Merville, Larry J.
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 89-118
Persistent link: https://www.econbiz.de/10001339370
Saved in:
39
Transactions data tests of minimum prices and put-call parity for treasurybond futures options
Jordan, James V.
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 63-87
Persistent link: https://www.econbiz.de/10001339371
Saved in:
40
The arbitrage-free pricing of options on interest-sensitive instruments
Bookstaber, Richard M.
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 1-23
Persistent link: https://www.econbiz.de/10001339373
Saved in:
41
Real interest rates and CPI-W futures
Petzel, Todd E.
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 255-270
Persistent link: https://www.econbiz.de/10001339374
Saved in:
42
Municipal bond futures : theory and uses
Johnson, Cal
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 235-253
Persistent link: https://www.econbiz.de/10001339375
Saved in:
43
The effect of futures price volatility on the price volatility of treasury bonds
Bhattacharya, Anand K.
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 193-213
Persistent link: https://www.econbiz.de/10001339377
Saved in:
44
An analysis of hedging certificates of deposit with interest rate futures : bank and contract specific evidence
Smirlock, Michael L.
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 153-170
Persistent link: https://www.econbiz.de/10001339379
Saved in:
45
Cash futures pricing and hedge ratios
Lady, George M.
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 137-152
Persistent link: https://www.econbiz.de/10001339380
Saved in:
46
Stochastic duration and dynamic measure of risk in financial futures
Chen, Andrew H.
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 93-111
Persistent link: https://www.econbiz.de/10001339382
Saved in:
47
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:
48
Cross-hedging, hedge effectiveness, and the trade-off between risk and return
Pitts, Mark
- In:
Advances in futures and options research : a research annual
1
(
1986
),
pp. 29-47
Persistent link: https://www.econbiz.de/10001339385
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