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Chapter 20 Fixed-income pricing
Dai, Qiang; Singleton, Kenneth J. - 2003
interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have …
Persistent link: https://www.econbiz.de/10014023851
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Segmented Arbitrage
Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan L. - National Bureau of Economic Research - 2022
We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These low correlations are inconsistent with canonical...
Persistent link: https://www.econbiz.de/10013435123
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Riding the swaption curve
Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
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Hedging flood losses using cat bonds
Têtu, Alexandre; Lai, Van Son; Soumaré, Issouf; … - In: Asia-Pacific journal of risk and insurance : APJRI 9 (2015) 2, pp. 149-184
Persistent link: https://www.econbiz.de/10011407695
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Alternativer Risikotransfer von Katastrophenrisiken : die Rückversicherung mit Anleihen und börsengehandelten Optionen im Vergleich
Strube, Michaela - 2001 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001599479
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Knock-In-Aktienanleihen und Barrier-Discount-Zertifikate
Wilkens, Marco; Baule, Rainer; Scholz, Hendrik - In: Sparkasse : Manager-Magazin für die Sparkassen-Finanzgruppe 118 (2001) 1, pp. 31-35
Persistent link: https://www.econbiz.de/10001560236
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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Optimal volatility dependent derivatives in the stochastic volatility model
Dyachenko, Artem; Rieger, Marc Oliver - In: The journal of derivatives : JOD 28 (2021) 4, pp. 24-44
Persistent link: https://www.econbiz.de/10012612918
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Bias correction for bond option greeks via jackknife
Zhang, Jinyu; Gao, Kang; Li, Yong - In: The journal of derivatives : JOD 28 (2021) 4, pp. 45-63
Persistent link: https://www.econbiz.de/10012612919