Similar Search Results

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

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

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

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

Hanweck, Gerald Alfred - 1994

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

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

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

Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models

Pang, Kin - In: Review of derivatives research 2 (1999) 4, pp. 315-345

Persistent link: https://www.econbiz.de/10001445802

Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model

Hull, John; White, Alan - In: The journal of fixed income 10 (2000) 2, pp. 46-62

Persistent link: https://www.econbiz.de/10001530342

Modelling the US swap spread

Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: Research in finance 26 (2010), pp. 155-181

Persistent link: https://www.econbiz.de/10009241013

What Determines U.S. Swap Spreads?

Kobor, Adam; Shi, Lishan; Zelenko, Ivan - 2012

This paper examines the evolution of the U.S. interest swap market. The authors review the theory and past empirical … studies on U.S. swap spreads, and estimate an error-correction model for maturities of 2, 5, and 10 years from 1994 to 2004 … counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component …

Persistent link: https://www.econbiz.de/10012563358