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The valuation of American-style swaptions in a two-factor spot-futures model

Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - 1999

Persistent link: https://www.econbiz.de/10001463939

The term structure of interest-rate futures prices

Stapleton, Richard C.; Subrahmanyam, Marti G. - 1999

Persistent link: https://www.econbiz.de/10001463940

The analysis and valuation of interest rate options

Stapleton, Richard C.; Subrahmanyam, Marti G. - 1992

Persistent link: https://www.econbiz.de/10000838715

The analysis and valuation of interest rate options

Stapleton, Richard C. - In: Journal of banking & finance 17 (1993) 6, pp. 1079-1095

Persistent link: https://www.econbiz.de/10001156862

The duration and volatility of spot and futures prices

Copeland, Laurence S. - In: Review of futures markets 11 (1993) 1, pp. 14-21

Persistent link: https://www.econbiz.de/10001168680

The impact of scheduled news announcements on T-Bond and Bund futures trading

Franke, Günter; Hess, Dieter - In: Institutional arrangements for global economic integration, (pp. 337-366). 2000

Persistent link: https://www.econbiz.de/10001533882

Anonymous electronic trading versus floor trading

Franke, Günter; Hess, Dieter - 1995

This paper compares the attractiveness of floor trading and anonymous electronic trading systems. It is argued that in times of low information intensity the insight into the order book of the electronic trading system provides more valuable information than floor trading, but in times of high...

Persistent link: https://www.econbiz.de/10009620820

Anonymous electronic trading versus floor trading

Franke, Günter - 1995

Persistent link: https://www.econbiz.de/10013388165

An empirical examination of the convexity bias in the pricing of interest rate swaps

Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial economics 55 (2000) 2, pp. 239-279

Persistent link: https://www.econbiz.de/10001448506

Credit risk and the pricing of Japanese yen interest rate swaps

Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - 1997

Persistent link: https://www.econbiz.de/10000992592