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Credit default swaps valuation
Chen, Ren-Raw; Fabozzi, Frank J.; O'Kane, Dominic - 2008
Persistent link: https://www.econbiz.de/10003765787
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The handbook of stock index futures and options
Fabozzi, Frank J. (ed.); Kipnis, Gregory M. (contributor) - 1989
Persistent link: https://www.econbiz.de/10013548657
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019 - This version: June 2019
comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …
Persistent link: https://www.econbiz.de/10012040065
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …
Persistent link: https://www.econbiz.de/10011975602
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Using the lattice model to value forward start swaps and swaptions
Buetow, Gerald W.; Fabozzi, Frank J. - In: Interest rate, term structure, and valuation modeling, (pp. 379-420). 2002
Persistent link: https://www.econbiz.de/10001734185
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Credit derivatives primer
Fabozzi, Frank J.; Choudhry, Moorad; Anson, Mark J. P.; … - In: The handbook of European structured financial products, (pp. 57-76). 2004
Persistent link: https://www.econbiz.de/10002010526
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Property derivatives for managing European real-estate risk
Fabozzi, Frank J.; Shiller, Robert J.; Tunaru, Radu S. - In: European financial management : the journal of the … 16 (2010) 1, pp. 8-26
Persistent link: https://www.econbiz.de/10003926684
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Interest-rate swaps and swaptions
Fabozzi, Frank J.; Mann, Steven V.; Choudhry, Moorad - In: The handbook of fixed income securities, (pp. 1249-1281). 2005
Persistent link: https://www.econbiz.de/10003055314
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OTC equity derivatives
Collins, Bruce M.; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003763508
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Inflation-Adjusted Bonds, Swaps and Derivatives
Jarrow, Robert A.; Yildirim, Yildiray - 2023
The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...
Persistent link: https://www.econbiz.de/10014355578