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US term structure and international stock market volatility : the role of the expectations factor and the maturity premium

Li, Matthew C. - In: Journal of international financial markets, … 41 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011475874

The U.S. term structure and return volatility in emerging stock markets

Demirer, Rıza; Yüksel, Aslı; Yüksel, Aydın - In: Journal of economics and finance : JEF 44 (2020) 4, pp. 687-707

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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

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Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...

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An empirical analysis of the swaption cube

Trolle, Anders B.; Schwartz, Eduardo S. - 2010

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …

Persistent link: https://www.econbiz.de/10008749031

Riding the swaption curve

Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75

Persistent link: https://www.econbiz.de/10011544291

Volatility risk premium in the interest rate market : evidence from delta-hedged gains on USD interest rate swaps

Byun, Suk Joon; Chang, Ki Cheon - In: International review of financial analysis 40 (2015), pp. 88-102

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Approximations of bond and swaption prices in a Black-Karasinski model

Daniluk, Andrzej; Muchorski, Rafał - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-32

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Pricing with finite dimensional dependence

Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417

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Market-based estimation of stochastic volatility models

Aït-Sahalia, Yacine; Amengual, Dante; Manresa, Elena - In: Journal of econometrics 187 (2015) 2, pp. 418-435

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