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Value at risk for interest rate-dependent securities
Cakici, Nusret; Foster, Kevin R. - In: The journal of fixed income 12 (2002) 4, pp. 81-95
Persistent link: https://www.econbiz.de/10001774645
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Implementation of the BDT model with different volatility estimators : applications to Eurodollar futures options
Bali, Turan G.; Karagozoglu, Ahmet K. - In: The journal of fixed income 8 (1999) 4, pp. 24-34
Persistent link: https://www.econbiz.de/10001432399
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Estimating the term structure of interest rate volatility in extreme values
Bali, Turan G.; Neftci, Salih N. - In: The journal of fixed income 10 (2001) 4, pp. 7-14
Persistent link: https://www.econbiz.de/10001580717
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ESTIMATING THE TERM STRUCTURE OF INTEREST RATE VOLATILITY IN EXTREME VALUES
Bali, Turan G.; Neftci, Salih N. - In: The journal of fixed income 10 (2001) 4, pp. 7-14
Persistent link: https://www.econbiz.de/10007173956
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IMPLEMENTATION OF THE BDT MODEL WITH DIFFERENT VOLATILITY ESTIMATORS: APPLICATIONS TO EURODOLLAR FUTURES OPTIONS
Bali, Turan G.; Karagozoglu, Ahmet K. - In: The journal of fixed income 8 (1999) 4, pp. 24-34
Persistent link: https://www.econbiz.de/10007341217