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Cross-currency basis swap spreads and corporate dollar funding

David-Pur, Lior; Galil, Koresh; Rosenboim, Mosi; … - In: Journal of international financial markets, … 85 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014433286

Central bank swap lines

Bahaj, Saleem; Reis, Ricardo - 2018

Persistent link: https://www.econbiz.de/10011934159

Effects of the Fed's enhanced swap line with the ECB on CIP deviations

Moessner, Richhild; Allen, William A. - In: Applied economics 53 (2021) 10, pp. 1178-1183

Persistent link: https://www.econbiz.de/10012425457

Central bank swap lines and CIP deviations

Allen, William A.; Galati, Gabriele; Moessner, Richhild; … - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 394-402

Persistent link: https://www.econbiz.de/10011960384

What determines U.S. swap spreads?

Kóbor, Ádám - 2005

Persistent link: https://www.econbiz.de/10010522778

Linear-rational term structure models

Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...

Persistent link: https://www.econbiz.de/10010338764

A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch

Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244

Persistent link: https://www.econbiz.de/10011435817

Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model

Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: International journal of financial engineering 3 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011532753

Valuation of CMS range notes in a multifactor LIBOR market model

Wu, Ping; Elliott, Robert J. - In: International journal of financial engineering 3 (2016) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011532755

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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