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Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?
Jarrow, Robert A.; Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 345-382
Persistent link: https://www.econbiz.de/10003425910
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Unspanned stochastic volatility : evidence from hedging interest rate derivatives
Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 61 (2006) 1, pp. 341-378
Persistent link: https://www.econbiz.de/10003302340
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Subprime mortgage defaults and credit default swaps
Arentsen, Eric; Mauer, David C.; Rosenlund, Brian; … - In: The journal of finance : the journal of the American … 70 (2015) 2, pp. 689-732
Persistent link: https://www.econbiz.de/10010517167
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Neglected risks in the communication of residential mortgage-backed securities offerings
Zhang, Harold H.; Zhao, Feng; Zhao, Xiaofei - In: The journal of finance : the journal of the American … 79 (2024) 1, pp. 129-172
Persistent link: https://www.econbiz.de/10014486371
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Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives
Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 61 (2006) 1, pp. 341-378
Persistent link: https://www.econbiz.de/10006543665
Cover Image
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile?
Jarrow, Robert; Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 345-382
Persistent link: https://www.econbiz.de/10007396566