Narrow search
Showing 1 - 6 of 6
Cover Image
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. - In: Journal of economic dynamics & control 92 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Cover Image
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
Cover Image
Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market
Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of financial economics 62 (2001) 1, pp. 39-66
Persistent link: https://www.econbiz.de/10001608810
Cover Image
The relative valuation of caps and swaptions : theory and empirical evidence
Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109
Persistent link: https://www.econbiz.de/10001631728
Cover Image
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
Cover Image
Valuing swaptions
Fabozzi, Frank J.; Buetow, Gerald W. - 2008
Persistent link: https://www.econbiz.de/10003765712