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Demand-supply imbalance risk and long-term swap spreads
Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri - 2022
Persistent link: https://www.econbiz.de/10013172797
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The term structure of interbank risk
Filipović, Damir; Trolle, Anders B. - In: Journal of financial economics 109 (2013) 3, pp. 707-733
Persistent link: https://www.econbiz.de/10010205349
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Pricing catastrophe swaps with default risk and stochastic interest rates
Lo, Chien-Ling; Chang, Carolyn C. W.; Lee, Jin-Ping; … - In: Pacific-Basin finance journal 68 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013332712
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Demand-and-supply imbalance risk and long-term swap spreads
Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuri - In: Journal of financial economics 154 (2024), pp. 1-25
Persistent link: https://www.econbiz.de/10015072199
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Libor Market Models with stochastic volatility and CMS spread option pricing
Lutz, Matthias - 2011
Persistent link: https://www.econbiz.de/10009375797
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Zinsswaps und ausfallriskante Anleihen in Deutschland
Metzner, Günther - 2001
Persistent link: https://www.econbiz.de/10001615568
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Interbank interest rates and the risk premium
Pagès, Henri - In: The journal of fixed income 9 (2000) 4, pp. 75-95
Persistent link: https://www.econbiz.de/10001495253
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Credit risk modelling and credit derivatives
Schönbucher, Philipp Johannes - 2000
Persistent link: https://www.econbiz.de/10001449548
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Forward Rate Spreads Explained by Credit - Derivations
Fenger, Christian - 2015
Persistent link: https://www.econbiz.de/10013035542
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Implicit Entropic Market Risk-Premium from Interest Rate Derivatives
Arismendi-Zambrano, Juan - 2020
Implicit in interest rate derivatives are Arrow-Debreu prices (or state price densities, SPDs) that contain fundamental information for risk and portfolio management in interest rate markets. To extract such information from interest rate derivatives, we propose a non-parametric method to...
Persistent link: https://www.econbiz.de/10012828071