Similar Search Results

A simple approach to valuing risky fixed and floating rate debt

Longstaff, Francis A.; Schwartz, Eduardo S. - In: Credit risk models and management, (pp. 123-157). 2004

Persistent link: https://www.econbiz.de/10002432424

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

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

Valuing American options by simulation : a simple least-squares approach

Longstaff, Francis A.; Schwartz, Eduardo S. - In: The review of financial studies 14 (2001) 1, pp. 113-147

Persistent link: https://www.econbiz.de/10001543109

Valuing credit derivatives

Longstaff, Francis A. - In: The journal of fixed income 5 (1995) 1, pp. 6-12

Persistent link: https://www.econbiz.de/10001213254

Interest rate volatility and the term structure : a two factor general equilibrium model

Longstaff, Francis A. - In: The journal of finance : the journal of the American … 47 (1992) 4, pp. 1259-1282

Persistent link: https://www.econbiz.de/10001133697

Electronic screen trading and the transmission of information : an empirical examination

Grünbichler, Andreas - In: Journal of financial intermediation 3 (1994) 2, pp. 166-187

Persistent link: https://www.econbiz.de/10001166034

Implementation of the Longstaff-Schwartz interest rate model

Longstaff, Francis A. - In: The journal of fixed income 3 (1993) 2, pp. 7-14

Persistent link: https://www.econbiz.de/10001149258

A simple approach to valuing risky fixed and floating rate debt

Longstaff, Francis A. - 1995

Persistent link: https://www.econbiz.de/10001340027

Electronic Screen Trading and the Transmission of Information : An Empirical Examination

Grünbichler, Andreas - 1999

We examine the lead-lag relation between intraday spot and futures prices for stock index where the component stocks are floor traded while the futures contract is screen traded. We find that futures prices lead spot prices by nearly 20 minutes. This is much longer than in markets where both the...

Persistent link: https://www.econbiz.de/10012790142