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Implementing no-arbitrage term structure of interest rate models in discrete time when interest rates are normally distributed
Grant, Dwight M.; Vora, Gautam - In: The journal of fixed income 8 (1999) 4, pp. 85-98
Persistent link: https://www.econbiz.de/10001432413
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IMPLEMENTING NO-ARBITRAGE TERM STRUCTURE OF INTEREST RATE MODELS IN DISCRETE TIME WHEN INTEREST RATES ARE NORMALLY DISTRIBUTED
Grant, Dwight; Vora, Gautam - In: The journal of fixed income 8 (1999) 4, pp. 85-98
Persistent link: https://www.econbiz.de/10007341212
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Empirical evidence on CDO performance
Newman, Daniel; Fabozzi, Frank J.; Lucas, Douglas J.; … - In: The journal of fixed income 18 (2008/09) 2, pp. 32-40
Persistent link: https://www.econbiz.de/10003777612
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Monetary policy and interest rate factors
Buetow, Gerald W.; Fabozzi, Frank J.; Henderson, Brian J. - In: The journal of fixed income 19 (2009/10) 2, pp. 63-70
Persistent link: https://www.econbiz.de/10003893446
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Sources of credit risk : evidence from credit default swaps
Chen, Ren-Raw; Fabozzi, Frank J.; Pan, Ging-Ging; … - In: The journal of fixed income 16 (2006) 3, pp. 7-21
Persistent link: https://www.econbiz.de/10003422016
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Corporate credit default swap liquidity and its implications for corporate bond spreads
Chen, Ren-Raw; Fabozzi, Frank J.; Sverdlove, Ronald - In: The journal of fixed income 20 (2010/11) 2, pp. 31-57
Persistent link: https://www.econbiz.de/10008667946
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Event of default provisions and the valuation of ABS CDO tranches
Goodman, Laurie Sharon; Newman, Daniel; Lucas, Douglas J.; … - In: The journal of fixed income 17 (2007) 3, pp. 85-89
Persistent link: https://www.econbiz.de/10003687364
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Determinants of primary market spreads on U.K. residential mortgage-backed securities and the implications for investor reliance on credit ratings
Fabozzi, Frank J.; Vink, Dennis - In: The journal of fixed income 21 (2012) 3, pp. 7-14
Persistent link: https://www.econbiz.de/10009532112
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A one-factor shifted squared Gaussian term structure model for interest rate modeling
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 25 (2016) 3, pp. 36-45
Persistent link: https://www.econbiz.de/10011430618
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Higher-order durations with respect to inflation and real rates and their portfolio management applications
Fabozzi, Frank J.; Xu, Yuewu - In: The journal of fixed income 21 (2012) 4, pp. 69-79
Persistent link: https://www.econbiz.de/10009670754