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Rate fears gauges and the dynamics of fixed income and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265

Persistent link: https://www.econbiz.de/10011377668

Rate fears gauges and the dynamics of fixed income and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265

Persistent link: https://www.econbiz.de/10011377669

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

The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises

Avouyi-Dovi, Sanvi; Horny, Guillaume; Sevestre, Patrick - In: Journal of banking & finance 79 (2017), pp. 74-94

Persistent link: https://www.econbiz.de/10011815138

Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model

Baviera, Roberto - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10012153037

An application of index numbers theory to interest rates

Huerga, Javier (contributor); Steklacova, Lucia (contributor) - 2008

This paper uses index number theory to disentangle changes in aggregate retail interest rates due to changes in individual component rates ("interest rate effect") from those caused by changes in the weights of each component ("weight effect"), on the basis of the "difference" index numbers...