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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
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An econometric model of the term structure of interest rate swap yields
Duffie, Darrell; Singleton, Kenneth J. - 1995
Persistent link: https://www.econbiz.de/10000904139
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Eine konsistente Bewertung von Zinsswaps und ihren Risiken durch Berücksichtigung der modernen Zinsstrukturtheorie
Tschernig, Markus - 1996
Persistent link: https://www.econbiz.de/10000931276
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An investigation into the linkages between euro and sterling swap spreads
Chatterjee, Somnath (contributor) - 2005
Persistent link: https://www.econbiz.de/10002537334
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Interest-rate swaps and swaptions
Fabozzi, Frank J.; Mann, Steven V.; Choudhry, Moorad - In: The handbook of fixed income securities, (pp. 1249-1281). 2005
Persistent link: https://www.econbiz.de/10003055314
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Theory and calibration of swap market models
Galluccio, Stefano; Huang, Zhijhang; Ly, Jean-Michel; … - 2004
Persistent link: https://www.econbiz.de/10002078198
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Theory and calibration of swap market models
Galluccio, Stefano; Huang, Zhijhang; Ly, Jean-Michel; … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002240424
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Determinants of Mortgage Interest Rates : Treasuries versus Swaps
Sirmans, Stace - 2015
contemporaneous 10-year LIBOR swap rate is shown to better explain the contemporaneous mortgage rate than the contemporaneous 10-year … important contribution to the literature by demonstrating that the swap rate is superior …
Persistent link: https://www.econbiz.de/10013030956
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A Consistent Framework for Modelling Basis Spreads in Tenor Swaps
Chang, Yang - 2015
The phenomenon of the frequency basis (i.e. a spread applied to one leg of a swap to exchange one floating interest … the improving stability of the calibration suggests that the basis swap market has matured since the turmoil of the GFC …
Persistent link: https://www.econbiz.de/10013033643
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The Term Structure of Covered Interest Rate Parity Violations
Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; … - 2022
-zero cross-currency basis swap rates. We quantify that the no-arbitrage benchmark accounts for about two thirds of the alleged …
Persistent link: https://www.econbiz.de/10013492075