Narrow search
Showing 1 - 10 of 85,549
Cover Image
Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - In: The journal of finance : the journal of the American … 72 (2017) 2, pp. 655-704
Persistent link: https://www.econbiz.de/10011738502
Cover Image
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
Cover Image
Information content and market liquidity in the fixed income market : evidence from the swaption market
Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10014574914
Cover Image
Chapter 11 Intertemporal asset pricing theory
Duffie, Darrell - 2003
, futures and forwards, option pricing under jumps and stochastic volatility, and the market valuation of corporate securities …
Persistent link: https://www.econbiz.de/10014023860
Cover Image
Chapter 20 Fixed-income pricing
Dai, Qiang; Singleton, Kenneth J. - 2003
include affine, quadratic-Gaussian, and various stochastic volatility models of the term structure. Then we turn to models …
Persistent link: https://www.econbiz.de/10014023851
Cover Image
Dynamics of interest rate swap and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - 2013
respectively by CBOE's VIX and their newly-launched swap rate volatility index -- SRVX -- exhibit significantly distinct behaviors …
Persistent link: https://www.econbiz.de/10009750617
Cover Image
The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …
Persistent link: https://www.econbiz.de/10011412294
Cover Image
Sharpe-optimal volatility futures carry
Uhl, Björn - In: The journal of asset management : a major new, … 25 (2024) 3, pp. 288-302
Persistent link: https://www.econbiz.de/10014583405
Cover Image
Measuring the stance of monetary policy in zero lower bound environments
Krippner, Leo - In: Economics Letters 118 (2013) 1, pp. 135-138
With interest rates near the zero lower bound, I propose a simple framework to indicate the monetary policy stance as a “shadow short rate”. I apply a one-factor model to Japan, provide associated economic intuition, and discuss multiple-factor extensions.
Persistent link: https://www.econbiz.de/10011041660
Cover Image
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
Persistent link: https://www.econbiz.de/10011475633