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Interbank interest rates and the risk premium
Pagès, Henri - In: The journal of fixed income 9 (2000) 4, pp. 75-95
Persistent link: https://www.econbiz.de/10001495253
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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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Modeling swap spreads in normal and stressed environments
Bhansali, Vineer; Schwarzkopf, Yonathan; Wise, Mark B. - In: The journal of fixed income 18 (2008/09) 4, pp. 5-23
Persistent link: https://www.econbiz.de/10003848027
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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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Forecasting swap spreads : a Bayesian approach
Klein, Daniel; Nikitina, Elena; Curtillet, Jean-Christophe - In: The journal of fixed income 26 (2016) 2, pp. 40-53
Persistent link: https://www.econbiz.de/10011684662
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London Inter-Bank Offer Rate (LIBOR) versus Treasury rate : evidence from the parsimonious term structure model
Brooks, Robert; Yan, David Yong - In: The journal of fixed income 9 (1999) 1, pp. 71-83
Persistent link: https://www.econbiz.de/10001432380
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Factor dependence and estimation risk for cap-related interest rat exotics
Kerkhof, Franciscus Lambertus Johannes - In: The journal of fixed income 15 (2006) 4, pp. 74-83
Persistent link: https://www.econbiz.de/10003339423
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Managing interest rate volatility risk : key rate vega
Ho, Thomas S. Y. - In: The journal of fixed income 17 (2007) 3, pp. 6-17
Persistent link: https://www.econbiz.de/10003687329
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Generalized Ho-Lee model : a multi-factor state-time dependent implied volatility function approach
Ho, Thomas S. Y.; Yi, Sang-bin - In: The journal of fixed income 17 (2007) 3, pp. 18-37
Persistent link: https://www.econbiz.de/10003687350
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Correlated default modeling with a forest of binomial trees
Bandreddi, Santhosh; Das, Sanjiv R.; Fan, Rong - In: The journal of fixed income 17 (2007) 3, pp. 38-56
Persistent link: https://www.econbiz.de/10003687357