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~isPartOf:"European financial management : the journal of the European Financial Management Association"
~isPartOf:"The journal of fixed income"
~subject:"Estimation"
~subject:"Interest rate derivative"
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Estimation
Interest rate derivative
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34
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Baba, Naohiko
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Bhansali, Vineer
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Hull, John
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1
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European financial management : the journal of the European Financial Management Association
The journal of fixed income
International journal of theoretical and applied finance
8
Research paper series / Swiss Finance Institute
8
Working papers / The Levy Economics Institute
8
International review of financial analysis
7
Journal of international financial markets, institutions & money
6
The journal of computational finance
6
Applied mathematical finance
5
Journal of banking & finance
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Journal of financial economics
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The journal of derivatives : the official publication of the International Association of Financial Engineers
5
The journal of futures markets
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Bank of England Working Paper
4
Review of derivatives research
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European journal of operational research : EJOR
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International journal of financial engineering
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Journal of econometrics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Swiss Finance Institute Research Paper
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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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:
2
Forecasting swap spreads : a Bayesian approach
Klein, Daniel
;
Nikitina, Elena
;
Curtillet, Jean-Christophe
- In:
The journal of fixed income
26
(
2016
)
2
,
pp. 40-53
Persistent link: https://www.econbiz.de/10011684662
Saved in:
3
Credit default swap market determinants
Greatrex, Caitlin Ann
- In:
The journal of fixed income
18
(
2008/09
)
3
,
pp. 18-32
Persistent link: https://www.econbiz.de/10003808955
Saved in:
4
Modeling swap spreads in normal and stressed environments
Bhansali, Vineer
;
Schwarzkopf, Yonathan
;
Wise, Mark B.
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 5-23
Persistent link: https://www.econbiz.de/10003848027
Saved in:
5
Dynamic spillover of money market turmoil from FX swap to cross-currency swap markets : evidence from the 2007 - 2008 turmoil
Baba, Naohiko
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 24-38
Persistent link: https://www.econbiz.de/10003848031
Saved in:
6
Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.
;
Yildirim, Yildiray
- In:
The journal of fixed income
11
(
2001
)
4
,
pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
Saved in:
7
Predicting the ten-year LIBOR swap spread : the role and limitations of rich/cheap analysis
Prendergast, Joseph R.
- In:
The journal of fixed income
10
(
2000
)
3
,
pp. 86-99
Persistent link: https://www.econbiz.de/10001549803
Saved in:
8
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:
9
Determinants of swap spreads in a developing financial market : evidence from Finland
Suhonen, Antti
- In:
European financial management : the journal of the …
4
(
1998
)
3
,
pp. 379-399
Persistent link: https://www.econbiz.de/10001251078
Saved in:
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