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Deflation risk
Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno - 2013
Persistent link: https://www.econbiz.de/10009784893
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Simple variance swaps
Martin, Ian - 2011
the single-name variance swap market to dry up completely. This paper defines and analyzes a simple variance swap, a … relative of the variance swap that in several respects has more desirable properties. First, simple variance swaps are robust …
Persistent link: https://www.econbiz.de/10008939195
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An evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and swaption prices
Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve Guoqiang - 2001
Persistent link: https://www.econbiz.de/10001637620
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Banks and derivatives
Gorton, Gary - 1995
Persistent link: https://www.econbiz.de/10000910082
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Over-the-counter derivatives and systemic risk to the global financial system
Darby, Michael R. - 1994
Persistent link: https://www.econbiz.de/10000911236
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Currency hedging over long horizons
Froot, Kenneth - 1993
Persistent link: https://www.econbiz.de/10000867502
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Synthetic eurocurrency interest rate futures contracts : theory and evidence
Koh, Annie; Levich, Richard M. - 1989
Persistent link: https://www.econbiz.de/10000774262
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Equilibrium exchange rate hedging
Black, Fischer - 1989
Persistent link: https://www.econbiz.de/10000766818
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Aggregate income risks and hedging mechanisms
Shiller, Robert J. - 1993
Persistent link: https://www.econbiz.de/10000871275
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On the pricing of intermediated risks : theory and application to catastrophe reinsurance
Froot, Kenneth; O'Connell, Paul G. J. - 1997
Persistent link: https://www.econbiz.de/10000627637