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Extracting implied volatilities from bank bonds
Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197
Persistent link: https://www.econbiz.de/10014321670
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Price impact on term structure
Brigo, Damiano; Graceffa, Federico; Neuman, Eyal - In: Quantitative finance 22 (2022) 1, pp. 171-195
Persistent link: https://www.econbiz.de/10012872530
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Bond indifference prices
Lorig, Matthew; Zou, Bin - In: Quantitative finance 21 (2021) 7, pp. 1223-1233
Persistent link: https://www.econbiz.de/10012588039
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Consistent curves in the P-world : optimal bonds portfolio
Ouaknin, Gaddiel Y. - In: Quantitative finance 24 (2024) 7, pp. 875-888
Persistent link: https://www.econbiz.de/10015050803
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Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - In: Quantitative finance 18 (2018) 2, pp. 283-293
Persistent link: https://www.econbiz.de/10011906340
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Bond and option pricing for interest rate model with clustering effects
Zhang, Xin; Xiong, Jie; Shen, Yang - In: Quantitative finance 18 (2018) 6, pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
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Government bond yields in Germany and Spain : empirical evidence from better days
Basse, Tobias; Wegener, Christoph; Kunze, Frederik - In: Quantitative finance 18 (2018) 5, pp. 827-835
Persistent link: https://www.econbiz.de/10011907949
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Chinese write-down bonds : issuance and bank capital structure
Li, P.; Han, Y.; Lin, S.; Qiao, T. - In: Quantitative finance 20 (2020) 12, pp. 2055-2065
Persistent link: https://www.econbiz.de/10012313553
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Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?
Sakurai, Yuji; Kurosaki, Tetsuo - In: Quantitative finance 22 (2022) 12, pp. 2219-2236
Persistent link: https://www.econbiz.de/10013490939
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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794