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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Swap"
~subject:"United States"
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Working paper / National Bureau of Economic Research, Inc.
68
Journal of banking & finance
65
The journal of fixed income
57
The journal of structured finance
46
International journal of theoretical and applied finance
43
The review of financial studies
41
NBER working paper series
36
International review of financial analysis
33
The journal of finance : the journal of the American Finance Association
32
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31
Discussion paper / Centre for Economic Policy Research
28
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26
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25
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23
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22
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22
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Mathematical finance : an international journal of mathematics, statistics and financial theory
18
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16
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Journal of international money and finance
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Research paper series / Swiss Finance Institute
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The journal of real estate finance and economics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
33
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1
The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang
;
Pedersen, Claus
- In:
The journal of derivatives : the official publication …
20
(
2012
)
1
,
pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
Saved in:
2
Interest rate
swap
credit valuation adjustment
Černý, Jakub
;
Witzany, Jiří
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
Saved in:
3
Recent advances in default
swap
valuation
Cheng, Wai-yan
- In:
The journal of derivatives : the official publication …
9
(
2001
)
1
,
pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
Saved in:
4
Digital premium
Berd, Arthur M.
;
Kapoor, Vivek
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 66-76
Persistent link: https://www.econbiz.de/10001770081
Saved in:
5
Asymmetric dynamics between informed trading activity and credit default swaps
Hu, Wen-Cheng
;
Huang, Alex
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 70-85
Persistent link: https://www.econbiz.de/10011968700
Saved in:
6
Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano
;
Morini, Massimo
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
Saved in:
7
On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong
;
Gupta, Anurag
;
Ritchken, Peter H.
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 9-33
Persistent link: https://www.econbiz.de/10003611410
Saved in:
8
An efficient algorithm for basket default
swap
valuation
Chiang, Mi-hsiu
;
Yueh, Meng-lan
;
Hsieh, Ming-hua
- In:
The journal of derivatives : the official publication …
15
(
2007
)
2
,
pp. 8-19
Persistent link: https://www.econbiz.de/10003673297
Saved in:
9
Cross-currency equity swaps in the BGM model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
15
(
2007
)
2
,
pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
Saved in:
10
A comparison of Markov-functional and market models : the one-dimensional case
Bennett, Michael N.
;
Kennedy, Joanne E.
- In:
The journal of derivatives : the official publication …
13
(
2005
)
2
,
pp. 22-43
Persistent link: https://www.econbiz.de/10003299540
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