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Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte; Strunk Hansen, Charlotte - 2000
Persistent link: https://www.econbiz.de/10001453874
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Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte; Strunk Hansen, Charlotte - 2000
Persistent link: https://www.econbiz.de/10001456681
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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
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Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte; Strunk Hansen, Charlotte - In: Review of derivatives research 5 (2002) 1, pp. 51-80
Persistent link: https://www.econbiz.de/10001652021
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The US public debt valuation puzzle
Jiang, Zhengyang; Lustig, Hanno; Nieuwerburgh, Stijn van; … - In: Econometrica : journal of the Econometric Society, an … 92 (2024) 4, pp. 1309-1347
Persistent link: https://www.econbiz.de/10015048053
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Building models for credit spreads
Arvanitis, Angelo; Gregory, Jonathon; Laurent, Jean-Paul - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 27-43
Persistent link: https://www.econbiz.de/10001432491
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Essays in empirical asset pricing
Apedjinou, Kodjo Mawuelona - 2005
Persistent link: https://www.econbiz.de/10003553254
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Effective Hedging Strategy for US Treasury Bond Portfolio Using Principal Component Analysis
Kumar, Sumit - 2022
that effectively hedge the bond portfolio's significant risk without taking an off-setting position with all the bond … from the data produced 9 PCs (Principal Components), of which the first two explain 99.137% of all variances in the bond …
Persistent link: https://www.econbiz.de/10013297733
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Pricing interest rate derivatives in a non-parametric two-factor term-structure model
Knight, John L.; Li, Fuchun; Yuan, Mingwei - 1999
Persistent link: https://www.econbiz.de/10001429788
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Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework
Di Persio, Luca; Gugole, Nicola - In: New methods in fixed income modeling : fixed income modeling, (pp. 61-83). 2018
Persistent link: https://www.econbiz.de/10012011579