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Valuation of VIX derivatives
Mencía, Javier; Sentana, Enrique - In: Journal of financial economics 108 (2013) 2, pp. 367-391
Persistent link: https://www.econbiz.de/10009749334
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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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Quadratic variance swap models
Filipović, Damir; Gourier, Elise; Mancini, Loriano - In: Journal of financial economics 119 (2016) 1, pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
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U.S. stock market crash risk, 1926–2010
Bates, David S. - In: Journal of financial economics 105 (2012) 2, pp. 229-259
Persistent link: https://www.econbiz.de/10009666837
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Monetary policy regimes : implications for the yield curve and bond pricing
Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico - In: Journal of financial economics 113 (2014) 3, pp. 427-454
Persistent link: https://www.econbiz.de/10010495817
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The term structure of equity risk premia
Bansal, Ravi; Miller, Shane; Song, Dongho; Yaron, Amir - In: Journal of financial economics 142 (2021) 3, pp. 1209-1228
Persistent link: https://www.econbiz.de/10012875936
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Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
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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/10001608810
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The term structure of interest rates in a pure exchange economy with heterogeneous investors
Wang, Jiang - In: Journal of financial economics 41 (1996) 1, pp. 75-110
Persistent link: https://www.econbiz.de/10001196558
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The leverage effect and the basket-index put spread
Bai, Jennie; Goldstein, Robert S.; Yang, Fan - In: Journal of financial economics 131 (2019) 1, pp. 186-205
Persistent link: https://www.econbiz.de/10012130889