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New evidence on the forward premium puzzle
Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F. - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 3, pp. 875-897
Persistent link: https://www.econbiz.de/10011610136
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Liquidity and arbitrage in the market for credit risk
Nashikkar, Amrut; Subrahmanyam, Marti G.; Mahanti, Sriketan - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 3, pp. 627-656
Persistent link: https://www.econbiz.de/10009385041
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A multifactor spot rate model for the pricing of interest rate derivatives
Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 847-880
Persistent link: https://www.econbiz.de/10001859311
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A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives
Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 847-880
Persistent link: https://www.econbiz.de/10006693968