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Valuing credit derivatives

Longstaff, Francis A. - In: The journal of fixed income 5 (1995) 1, pp. 6-12

Persistent link: https://www.econbiz.de/10001213254

Interest rate volatility and the term structure : a two factor general equilibrium model

Longstaff, Francis A. - In: The journal of finance : the journal of the American … 47 (1992) 4, pp. 1259-1282

Persistent link: https://www.econbiz.de/10001133697

Implementation of the Longstaff-Schwartz interest rate model

Longstaff, Francis A. - In: The journal of fixed income 3 (1993) 2, pp. 7-14

Persistent link: https://www.econbiz.de/10001149258

Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of financial economics 62 (2001) 1, pp. 39-66

Persistent link: https://www.econbiz.de/10001608810

The relative valuation of caps and swaptions : theory and empirical evidence

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109

Persistent link: https://www.econbiz.de/10001631728

Convergence within the EU : evidence from interest rates

Corzo Santamaria, Teresa; Schwartz, Eduardo S. - In: Economic notes : economic review of Banca Monte dei … 29 (2000) 2, pp. 243-266

Persistent link: https://www.econbiz.de/10001495522

Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates

Miltersen, Kristian R.; Schwartz, Eduardo S. - 1997

Persistent link: https://www.econbiz.de/10000972817

Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates

Miltersen, Kristian R. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 33-59

Persistent link: https://www.econbiz.de/10001243206

An Empirical Analysis of the Swaption Cube

Trolle, Anders B. - 2010

We use a comprehensive database of inter-dealer quotes to conduct the first empirical analysis of the dynamics of the swaption cube. Using a model independent approach, we establish a set of stylized facts regarding the cross-sectional and time-series variation of conditional volatility and...

Persistent link: https://www.econbiz.de/10013135764

Credit spreads in illiquid markets : model and implementation

Cortazar, Gonzalo; Schwartz, Eduardo S.; Tapia … - In: Emerging markets finance & trade : a journal of the … 48 (2012) 6, pp. 53-72

Persistent link: https://www.econbiz.de/10009721136