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Essays on interest-rate volatility and the pricing of interest-rate derivative assets
Hanweck, Gerald Alfred - 1994
Persistent link: https://www.econbiz.de/10000916134
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Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui; Hansen, … - In: Journal of financial economics 150 (2023) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
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An ex-post analysis of the CME Group's solution to the 5-year gap issue
Ben-Abdallah, Ramzi; Breton, Michèle - In: Applied economics 49 (2017) 60, pp. 5992-6002
Persistent link: https://www.econbiz.de/10011845891
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Did the Great East Japan Earthquake have an impact on the market for long-term interest rates in Japan?
Ito, Takayasu - In: The IUP journal of applied finance : IJAF 19 (2013) 4, pp. 61-70
Persistent link: https://www.econbiz.de/10010202517
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Does federal funds futures rate contain information about the treasury bill rate?
Kishor, N. Kundan; Marfatia, H. A. - In: Applied financial economics 23 (2013) 16/18, pp. 1311-1324
Persistent link: https://www.econbiz.de/10010259457
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Determinants of mortgage interest rates : treasuries versus swaps
Sirmans, C. Stace; Smith, Stanley D.; Sirmans, G. Stacy - In: The journal of real estate finance and economics 50 (2015) 1, pp. 34-51
Persistent link: https://www.econbiz.de/10010486912
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Impact of negative interest rate policy on the swap market in Japan : comparative analysis before and after yield curve control
Ito, Takayasu - In: The journal of corporate accounting & finance 34 (2023) 1, pp. 173-178
Persistent link: https://www.econbiz.de/10014279423
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The formation of interbank interest rates and treasury bill yields in Japan under different regimes of non-traditional monetary policy
Ito, Takayasu - In: The journal of corporate accounting & finance 35 (2024) 2, pp. 281-286
Persistent link: https://www.econbiz.de/10014535588
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Are the risk-free interest rates correlated with sovereign default intensities?
Kagraoka, Yusho - In: The journal of fixed income 28 (2019) 4, pp. 91-103
Persistent link: https://www.econbiz.de/10012251389
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447