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Implied volatility functions in arbitrage-free term structure models
Amin, Kaushik I. - In: Journal of financial economics 35 (1994) 2, pp. 141-180
Persistent link: https://www.econbiz.de/10001159961
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An empirical examination of the convexity bias in the pricing of interest rate swaps
Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial economics 55 (2000) 2, pp. 239-279
Persistent link: https://www.econbiz.de/10001448506
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Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris; Karoui, Lotfi - In: Journal of financial economics 91 (2009) 3, pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
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The term structure of interbank risk
Filipović, Damir; Trolle, Anders B. - In: Journal of financial economics 109 (2013) 3, pp. 707-733
Persistent link: https://www.econbiz.de/10010205349
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Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Leippold, Markus; Strømberg, Jacob - In: Journal of financial economics 111 (2014) 1, pp. 224-250
Persistent link: https://www.econbiz.de/10010255531
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Decomposing swap spreads
Feldhütter, Peter; Lando, David - In: Journal of financial economics 88 (2008) 2, pp. 375-405
Persistent link: https://www.econbiz.de/10003720318
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Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui; Hansen, … - In: Journal of financial economics 150 (2023) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
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Life after LIBOR
Klingler, Sven; Syrstad, Olav - In: Journal of financial economics 141 (2021) 2, pp. 783-801
Persistent link: https://www.econbiz.de/10013259828
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Negative option values are possible : the impact of treasury bond futures on the cash US treasury market
Jordan, Bradford D. - In: Journal of financial economics 46 (1997) 1, pp. 67-102
Persistent link: https://www.econbiz.de/10001228508
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An empirical examination of basic valuation models for plain vanilla US interest rate swaps
Minton, Bernadette A. - In: Journal of financial economics 44 (1997) 2, pp. 251-277
Persistent link: https://www.econbiz.de/10001222156