Interest rate swaps : a comparison of compounded daily versus discrete reference rates
Year of publication: |
2023
|
---|---|
Authors: | Jarrow, Robert A. ; Li, Siguang |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 26.2023, 1, p. 1-21
|
Subject: | Floating rate loans | Interest rate swaps | LIBOR | SOFR | Zinsderivat | Interest rate derivative | Swap | Zins | Interest rate | Theorie | Theory |
-
Heidorn, Thomas, (2024)
-
How the IBOR reform affects interest rate swaps
Goebel, Josua, (2022)
-
Chatziantoniou, Ioannis, (2021)
- More ...
-
Endogenous liquidity risk and dealer market structure
Jarrow, Robert A., (2021)
-
Concavity, stochastic utility, and risk aversion
Jarrow, Robert A., (2021)
-
Index design : hedging and manipulation
Jarrow, Robert A., (2022)
- More ...