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An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - In: The journal of fixed income 18 (2008/09) 2, pp. 41-56
Persistent link: https://www.econbiz.de/10003777616
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Dynamic spillover of money market turmoil from FX swap to cross-currency swap markets : evidence from the 2007 - 2008 turmoil
Baba, Naohiko - In: The journal of fixed income 18 (2008/09) 4, pp. 24-38
Persistent link: https://www.econbiz.de/10003848031
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Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John; White, Alan - In: The journal of fixed income 10 (2000) 2, pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
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Implied asset value volatility from a new structural model of credit risk
Chen, James - In: The journal of fixed income 29 (2020) 3, pp. 38-52
Persistent link: https://www.econbiz.de/10012253566