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isPartOf:"The journal of fixed income"
~isPartOf:"The journal of computational finance"
~subject:"Credit risk"
~subject:"USA"
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Search: subject_exact:"Interest rate swap"
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Credit risk
USA
Interest rate derivative
52
Zinsderivat
52
Yield curve
29
Zinsstruktur
29
Theorie
28
Theory
28
Option pricing theory
21
Optionspreistheorie
21
Derivat
10
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Swap
10
United States
10
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9
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9
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Belton, Terrence M.
1
Brooks, Robert
1
Brown, Rob
1
Chowdhury, Muinul
1
Dynkin, Lev
1
Eom, Young Ho
1
Fang, Victor
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Greenfield, Yuri
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1
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1
Subrahmanyam, Marti G.
1
Uno, Jun
1
Vázquez, Carlos
1
Wadhwa, Pavan
1
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1
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The journal of fixed income
The journal of computational finance
The journal of futures markets
92
Advances in futures and options research : a research annual
15
Review of futures markets
10
The journal of finance : the journal of the American Finance Association
8
The review of financial studies
7
Journal of banking & finance
6
Journal of financial and quantitative analysis : JFQA
6
Journal of financial economics
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
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4
Economic policy review
4
International journal of theoretical and applied finance
4
Selected writings on futures markets : explorations in financial futures markets
4
The journal of business : B
4
Working paper / National Bureau of Economic Research, Inc.
4
Advances in investment analysis and portfolio management : a research annual
3
International review of financial analysis
3
Journal of financial services research : JFSR
3
Journal of international money and finance
3
NBER working paper series
3
Research in finance
3
The journal of credit risk : published quarterly by Incisive Media
3
The journal of financial research
3
CoFE discussion papers
2
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
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Economic review : publ. monthly
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European journal of operational research : EJOR
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Interest rate futures : concepts and issues
2
Interest rate modelling after the financial crisis
2
International journal of financial engineering
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ECONIS (ZBW)
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1
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
2
Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub
;
Lai, Van Son
;
Soumaré, Issouf
- In:
The journal of fixed income
26
(
2017
)
3
,
pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
Saved in:
3
Generalized Ho-Lee model : a multi-factor state-time dependent implied volatility function approach
Ho, Thomas S. Y.
;
Yi, Sang-bin
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 18-37
Persistent link: https://www.econbiz.de/10003687350
Saved in:
4
Links among interest rate swap markets : US, UK, and Japan
In, Francis Haeuck
;
Brown, Rob
;
Fang, Victor
- In:
The journal of fixed income
13
(
2003
)
3
,
pp. 84-95
Persistent link: https://www.econbiz.de/10001968467
Saved in:
5
Transmission of swap spreads and volatilities in the Japenese swap market
Eom, Young Ho
;
Subrahmanyam, Marti G.
;
Uno, Jun
- In:
The journal of fixed income
12
(
2002
)
1
,
pp. 6-28
Persistent link: https://www.econbiz.de/10001725689
Saved in:
6
Swaps as a synthetic asset class
Belton, Terrence M.
;
Wadhwa, Pavan
- In:
The journal of fixed income
12
(
2002
)
3
,
pp. 32-39
Persistent link: https://www.econbiz.de/10001763886
Saved in:
7
The cost of tax policy uncertainty : evidence from the municipal swap market
Brooks, Robert
- In:
The journal of fixed income
12
(
2002
)
3
,
pp. 71-87
Persistent link: https://www.econbiz.de/10001763891
Saved in:
8
The Lehman brothers swap indexes
Dynkin, Lev
;
Greenfield, Yuri
;
Joneja, Dev
- In:
The journal of fixed income
12
(
2002
)
2
,
pp. 28-42
Persistent link: https://www.econbiz.de/10001745237
Saved in:
9
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
Saved in:
10
A simple non-parametric approach to bond futures option pricing
Stutzer, Michael J.
;
Chowdhury, Muinul
- In:
The journal of fixed income
8
(
1999
)
4
,
pp. 67-76
Persistent link: https://www.econbiz.de/10001432409
Saved in:
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