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The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011751173

VIX futures term structure and the expectations hypothesis

Asensio, Ivan Oscar - In: Quantitative finance 20 (2020) 4, pp. 619-638

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LIBOR versus OIS : the derivatives discounting dilemma

Hull, John; White, Alan - In: Journal of investment management : JOIM 11 (2013) 3, pp. 14-27

Persistent link: https://www.econbiz.de/10010196008

Rating based Lévy Libor model

Eberlein, Ernst; Grbac, Zorana - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 591-626

Persistent link: https://www.econbiz.de/10010187684

The multi-curve potential model

Nguyen, The Anh; Seifried, Frank Thomas - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-32

Persistent link: https://www.econbiz.de/10011404390

Admissibility of generic market models of forward swap rates

Li, Libo; Rutkowski, Marek - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 728-761

Persistent link: https://www.econbiz.de/10011308170

Valuation of Guaranteed contracts set relative to cross-currency stochastic rates of return

Hsieh, Tsung-yu; Chou, Chi-hsun; Chen, Son-nan - In: Asia-Pacific journal of financial studies 43 (2014) 4, pp. 589-619

Persistent link: https://www.econbiz.de/10010407421

A general framework for the benchmark pricing in a fully collateralized market

Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011587747

OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads

Hull, John; White, Alan - In: Journal of investment management : JOIM 13 (2015) 1, pp. 64-83

Persistent link: https://www.econbiz.de/10011635240

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