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Essays on interest-rate volatility and the pricing of interest-rate derivative assets

Hanweck, Gerald Alfred - 1994

Persistent link: https://www.econbiz.de/10000916134

Options on bonds : implied volatilities from affine short-rate dynamics

Lorig, Matthew; Suaysom, Natchanon - In: Annals of finance 18 (2022) 2, pp. 183-216

Persistent link: https://www.econbiz.de/10013278980

Treasury option returns and models with unspanned risks

Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui; Hansen, … - In: Journal of financial economics 150 (2023) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10014462650

Equilibrium interest rate models for the Indian Government security market

Chaudhuri, Sunrita; Pandey, Alok - In: International Journal of Financial Markets and … 10 (2024) 1, pp. 70-86

Persistent link: https://www.econbiz.de/10015064463

A robust pricing of specific structured bonds with coupons

Evgenidis, Anastasios; Siriopoulos, Costas - In: Journal of risk finance : the convergence of financial … 15 (2014) 3, pp. 234-247

Persistent link: https://www.econbiz.de/10010391448

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Kazdal, Abdullah; Korkmaz, Halil İbrahim; … - 2020

Persistent link: https://www.econbiz.de/10012939794

Zero Yield and Asset Swap Spreads

Caspers, Peter - 2014

We compare zero yield and asset swap spreads both being used to specify the credit risk component in bond pricing. We … investigate how these both figures are related and how the asset swap spread depends on other pricing factors such as the riskfree …

Persistent link: https://www.econbiz.de/10013050952

Inflation-adjusted bonds, swaps, and derivatives

Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471

Persistent link: https://www.econbiz.de/10014426345

A monetary policy-based explanation of swap spreads in China

Fan, Longzhen; Hou, Xin; Sun, Qian - In: The journal of futures markets 43 (2023) 11, pp. 1645-1667

Persistent link: https://www.econbiz.de/10014432922

The bond benchmark continues to tip to swaps

Kreicher, Lawrence; McCauley, Robert N.; Wooldridge, … - In: BIS quarterly review : international banking and … (2017), pp. 69-79

Persistent link: https://www.econbiz.de/10011668200