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Hedging or market timing? : Selecting the interest rate exposure of corporate debt
Faulkender, Michael - In: The journal of finance : the journal of the American … 60 (2005) 2, pp. 931-962
Persistent link: https://www.econbiz.de/10002730702
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Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?
Jarrow, Robert A.; Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 345-382
Persistent link: https://www.econbiz.de/10003425910
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The impact of collateralization on swap rates
Johannes, Michael; Sundaresan, Suresh M. - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 383-410
Persistent link: https://www.econbiz.de/10003425912
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On the term structure of default premia in the swap and LIBOR markets
Collin-Dufresne, Pierre; Solnik, Bruno - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 1095-1115
Persistent link: https://www.econbiz.de/10001593029
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Do bonds span the fixed income markets? : Theory and evidence for unspanned stochastic volatility
Collin-Dufresne, Pierre; Goldstein, Robert S. - In: The journal of finance : the journal of the American … 57 (2002) 4, pp. 1685-1730
Persistent link: https://www.econbiz.de/10001696255
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Hedging in the possible presence of unspanned stochastic volatility : evidence from swaption markets
Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of finance : the journal of the American … 58 (2003) 5, pp. 2219-2248
Persistent link: https://www.econbiz.de/10001797838
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The statistical and economic role of jumps in continuous-time interest rate models
Johannes, Michael - In: The journal of finance : the journal of the American … 59 (2004) 1, pp. 227-260
Persistent link: https://www.econbiz.de/10001932051
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Closed form solutions for term structure derivatives with log-normal interest rates
Miltersen, Kristian R. - In: The journal of finance : the journal of the American … 52 (1997) 1, pp. 409-430
Persistent link: https://www.econbiz.de/10001217780
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The quality delivery option in treasury bond futures contracts
Hemler, Michael Lee - In: The journal of finance : the journal of the American … 45 (1990) 5, pp. 1565-1586
Persistent link: https://www.econbiz.de/10001103793
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The pricing of default-free interest rate cap, floor, and collar agreements
Briys, Eric - In: The journal of finance : the journal of the American … 46 (1991) 5, pp. 1879-1892
Persistent link: https://www.econbiz.de/10001115509