Similar Search Results

The valuation of interest rate derivatives : empirical evidence from the Spanish market

Moraleda Novo, Juan Manuel; Vorst, Ton - 1996

(1996) turns out to best explain the yield curve dynamics through time. Moreover, humped shapes in the volatility structure …

Persistent link: https://www.econbiz.de/10010232145

A family of humped volatility structures

Mercurio, Fabio; Moraleda Novo, Juan Manuel - 1996

that humped volatility structures are possible and yet analytical formulas for Euro- pean options on discount bonds are … interest rate models where (i) humped volatility structures are possible; (ii) the interest rate volatility may depend on the …

Persistent link: https://www.econbiz.de/10010232146

A family of humped volatility structures

Mercurio, Fabio; Moraleda Novo, Juan Manuel - 1996

Persistent link: https://www.econbiz.de/10000948314

A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area

Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014

model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …

Persistent link: https://www.econbiz.de/10010362975

Capital structure arbitrage revisited

Wojtowicz, Marcin - 2014

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive annualized return of 24.35% on invested capital....

Persistent link: https://www.econbiz.de/10010415520