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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
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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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Fast approximations of bond option prices under CKLS models
Tangman, D. Y.; Thakoor, N.; Dookhitram, K.; Bhuruth, M. - In: Finance research letters 8 (2011) 4, pp. 206-212
Persistent link: https://www.econbiz.de/10009425850
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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
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Quadratic hedging strategies for volatility swaps
Wang, Xingchun; Fu, Jianping; Wang, Guanying; Wang, Yongjin - In: Finance research letters 15 (2015), pp. 125-132
Persistent link: https://www.econbiz.de/10011553014
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A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
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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
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Price discovery between forward-looking SOFR and LIBOR
Indriawan, Ivan; Jiao, Feng; Tse, Yiuman - In: Finance research letters 47 (2022) 2, pp. 1-6
Persistent link: https://www.econbiz.de/10013553925
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Estimating stochastic volatility with jumps and asymmetry in Asian markets
Saranya, K.; Prasanna, P. Krishna - In: Finance research letters 25 (2018), pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
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A common jump factor stochastic volatility model
Laurini, Márcio Poletti; Mauad, Roberto Baltieri - In: Finance research letters 12 (2015), pp. 2-10
Persistent link: https://www.econbiz.de/10011551744