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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802

Persistent link: https://www.econbiz.de/10009381011

Riding the swaption curve

Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75

Persistent link: https://www.econbiz.de/10011544291

Volatility risk premium in the interest rate market : evidence from delta-hedged gains on USD interest rate swaps

Byun, Suk Joon; Chang, Ki Cheon - In: International review of financial analysis 40 (2015), pp. 88-102

Persistent link: https://www.econbiz.de/10011475633

Rate fears gauges and the dynamics of fixed income and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265

Persistent link: https://www.econbiz.de/10011377668

Rate fears gauges and the dynamics of fixed income and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265

Persistent link: https://www.econbiz.de/10011377669

Relative pricing and risk premia in equity volatility markets

Van Tassel, Peter - 2018

significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors …

Persistent link: https://www.econbiz.de/10011904683

Linear-rational term structure models

Filipović, Damir; Larsson, Martin; Trolle, Anders B. - In: The journal of finance : the journal of the American … 72 (2017) 2, pp. 655-704

Persistent link: https://www.econbiz.de/10011738502

Linear-rational term structure models

Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...

Persistent link: https://www.econbiz.de/10010338764

Pricing the excess volatility in foreign exchange risk premium and forward rate bias

Swan, Tina T.; Swan, Bruce Q.; Chen, Xinfu - In: Applied mathematical finance 29 (2022) 1, pp. 33-61

Persistent link: https://www.econbiz.de/10013554066

Libor Market Models with stochastic volatility and CMS spread option pricing

Lutz, Matthias - 2011

Persistent link: https://www.econbiz.de/10009375797