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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
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Interest rate derivatives and risk exposure : evidence from the life insurance industry
Liu, Hui-Hsuan; Chang, Ariana; Shiu, Yung-Ming - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012659093
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Central bank policy announcements and changes in trading behavior : evidence from bond futures high frequency price data
Kamada, Koichiro; Kurosaki, Tetsuo; Miura, Ko; Yamada, … - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-27
Persistent link: https://www.econbiz.de/10013413462
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Volatility transmission in the European money market
Nautz, Dieter; Offermanns, Christian J. - In: The North American journal of economics and finance : a … 19 (2008) 1, pp. 23-39
Persistent link: https://www.econbiz.de/10003742567
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An affine macro-finance term structure model for the euro area
Lemke, Wolfgang - In: The North American journal of economics and finance : a … 19 (2008) 1, pp. 41-69
Persistent link: https://www.econbiz.de/10003742572
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Term structure transmission of monetary policy
Kozicki, Sharon; Tinsley, Peter A. - In: The North American journal of economics and finance : a … 19 (2008) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10003742576
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Mean reversion in US and international short rates
Christiansen, Charlotte - In: The North American journal of economics and finance : a … 21 (2010) 3, pp. 286-296
Persistent link: https://www.econbiz.de/10009267822
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Asymmetric convergence and risk shift in the TED spreads
Hammoudeh, Shawkat; Chen, Li-Hsueh; Yuan, Yuan - In: The North American journal of economics and finance : a … 22 (2011) 3, pp. 277-297
Persistent link: https://www.econbiz.de/10009427386
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Deciphering the Libor and Euribor Spreads during the subprime crisis
Pelizzon, Loriana; Sartore, Domenico - In: The North American journal of economics and finance : a … 26 (2013), pp. 565-585
Persistent link: https://www.econbiz.de/10010370493