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Bond pricing and the term structure of interest rates : a new methodology for contingent claims valuation

Heath, David C. - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 1, pp. 77-105

Persistent link: https://www.econbiz.de/10001121808

Exploring Mispricing in the Term Structure of CDS Spreads

Jarrow, Robert A. - 2019

Based on a reduced-form model of credit risk, we explore mispricing in the CDS spreads of North American companies and its economic content. Specifically, we develop a trading strategy using the model to trade out of sample market-neutral portfolios across the term structure of CDS contracts....

Persistent link: https://www.econbiz.de/10012903851

Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns

Jarrow, Robert A. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 311-336

Persistent link: https://www.econbiz.de/10001189278

Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates

Jarrow, Robert A.; Deventer, Donald R. van - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 332-346

Persistent link: https://www.econbiz.de/10011531186

Exploring mispricing in the term structure of CDS spreads

Jarrow, Robert A.; Li, Haitao; Ye, Xiaoxia; Hu, May - In: Review of finance : journal of the European Finance … 23 (2019) 1, pp. 161-198

Persistent link: https://www.econbiz.de/10012035080

A review of no arbitrage interest rate models

Buetow, Gerald W.; Fabozzi, Frank J.; Sochacki, James - In: Interest rate, term structure, and valuation modeling, (pp. 39-72). 2002

Persistent link: https://www.econbiz.de/10001734140

The effects of yield control monetary policy : a helicopter money drop to financial institutions

Jarrow, Robert A.; Lamichhane, Sujan - In: The quarterly journal of finance 10 (2020) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10012423551

Bond pricing and the term structure of interest rates : a discrete time approximation

Heath, David C. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 4, pp. 419-440

Persistent link: https://www.econbiz.de/10001098665

Liquidity risk and the term structure of interest rates

Jarrow, Robert A.; Roch, Alexandre F. - In: Mathematics and financial economics 9 (2015) 1, pp. 57-83

Persistent link: https://www.econbiz.de/10010500696

Another look at the Ho-Lee bond option pricing model

Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53

Persistent link: https://www.econbiz.de/10011965408