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Quantitative Finance : Strategien, Investments, Analysen
Larcher, Gerhard - 2020
Persistent link: https://www.econbiz.de/10012149994
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Risk measures and nonlinear expectations
Chen, Zengjing; He, Kun; Kulperger, Reg - In: Journal of mathematical finance 3 (2013) 3, pp. 383-391
Persistent link: https://www.econbiz.de/10010239533
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Are interest rate options important for the assessment of interest rate risk?
Almeida, Caio; Vicente, José Roberto - 2008
Persistent link: https://www.econbiz.de/10003822259
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Value-at-Risk analysis for long-term interest rate futures : Fat-tail and long memory in return innovations
Wu, Ping-Tsung; Shieh, Shwu-Jane - In: Journal of empirical finance 14 (2007) 2, pp. 248-259
Persistent link: https://www.econbiz.de/10003499670
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Are interest rate options important for the assessment of interest rate risk?
Almeida, Caio; Vicente, José Roberto - In: Journal of banking & finance 33 (2009) 8, pp. 1376-1387
Persistent link: https://www.econbiz.de/10003855482
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Estimating value-at-risk under a Heath-Jarrow-Morton framework with jump
Ze-To, Samuel Yau Man - In: Applied economics 44 (2012) 19/21, pp. 2729-2741
Persistent link: https://www.econbiz.de/10009546636
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GARCH processes and value at risk : an empirical analysis for Mexican interest rate futures
Benavides P., Guillermo - In: Panorama socio-económico 25 (2007), pp. 92-105
Persistent link: https://www.econbiz.de/10003746021
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A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps
Niffikeer, Cindy I.; Hewins, Robin David; Flavell, Richard - In: Journal of banking & finance 24 (2000) 12, pp. 1903-1932
Persistent link: https://www.econbiz.de/10001531933
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Are Interest Rate Options Important for the Assessment of Interest Rate Risk?
Almeida, Caio - 2018
Fixed income options contain substantial information on the price of interest rate volatility risk. In this paper, we ask if those options will also provide information related to other moments of the objective distribution of interest rates. Based on dynamic term structure models within the...
Persistent link: https://www.econbiz.de/10012924539
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654