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Three empirical essays on the informational content of financial prices

Bernoth, Kerstin - 2004

Persistent link: https://www.econbiz.de/10002524759

GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model

Dang, Duy-Minh - 2011

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …

Persistent link: https://www.econbiz.de/10013133913

International swap market contagion and volatility

Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor; … - In: Economic modelling 47 (2015), pp. 355-371

Persistent link: https://www.econbiz.de/10011439454

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

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …

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

The OTC Interest Rate Derivatives Market in 2013

Gyntelberg, Jacob - 2014

This feature analyses the market for OTC interest rate derivatives using data from the Triennial Central Bank Survey. Low and stable interest rates after the financial crisis went hand in hand with low but still positive turnover growth in most currencies. The increase was entirely driven by a...

Persistent link: https://www.econbiz.de/10013057710

An empirical analysis of volatility spillover in global swap markets

Malhotra, Davinder Kumar; Bhargava, Vivek - In: Journal of business and economic perspectives 48 (2021) 1, pp. 92-126

Persistent link: https://www.econbiz.de/10012667177

Sharpe-optimal volatility futures carry

Uhl, Björn - In: The journal of asset management : a major new, … 25 (2024) 3, pp. 288-302

Persistent link: https://www.econbiz.de/10014583405

Transaction costs and volatility on Warsaw Stock Exchange : implications for financial transaction tax

Zator, Michał - In: Bank i kredyt 45 (2014) 4, pp. 349-372

Persistent link: https://www.econbiz.de/10010410227

Impact of the ban on uncovered sCDS trade on the interdependencies between the CDS market and other sectors of financial markets : the case of safe and developed versus risky and developing European markets

Kliber, Agata - In: Comparative economic research : Central and Eastern Europe 19 (2016) 1, pp. 77-99

The aim of the article is to verify the impact of the ban on uncovered sCDS trade in Europe on the interdependencies between the sCDS market and other sectors of financial markets. We analyse two European markets: the safe and developed Swedish market, and the risky and developing Hungarian one....

Persistent link: https://www.econbiz.de/10011869394