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Filipović, Damir; Trolle, Anders B. - In: Journal of Financial Economics 109 (2013) 3, pp. 707-733

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure into default and non-default (liquidity)...

Persistent link: https://www.econbiz.de/10011039231

Savings bonds, retractable bonds and callable bonds

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial Economics 5 (1977) 1, pp. 67-88

Persistent link: https://www.econbiz.de/10005376527

The pricing of equity-linked life insurance policies with an asset value guarantee

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial Economics 3 (1976) 3, pp. 195-213

Persistent link: https://www.econbiz.de/10005210468

Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of Financial Economics 62 (2001) 1, pp. 39-66

Persistent link: https://www.econbiz.de/10005477892

The valuation of warrants: Implementing a new approach

Schwartz, Eduardo S. - In: Journal of Financial Economics 4 (1977) 1, pp. 79-93

Persistent link: https://www.econbiz.de/10005478150