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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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Fixed interest player v/s floating interest player : tug of war
Ahamed, Naseem - In: Theoretical economics letters 5 (2015) 4, pp. 469-475
Persistent link: https://www.econbiz.de/10011439295
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A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang; Schlögl, Erik - 2014
Persistent link: https://www.econbiz.de/10011344803
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On valuing constant maturity swap spread derivatives
Tchuindjo, Léonard - In: Journal of mathematical finance 2 (2012) 2, pp. 189-194
Persistent link: https://www.econbiz.de/10009719245
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Swap Futures in HJM One-Factor Model
Kennedy, Gary J. - 2010
Explicit and semi-explicit formulae are obtained for swap futures within a HJM one factor model. The convexity …
Persistent link: https://www.econbiz.de/10013139852
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On Valuing Constant Maturity Swap Spread Derivatives
Tchuindjo, Leonard - 2013
between major constant maturity swap (CMS) indexes, we propose an easy-to-implement two-factor model for valuing CMS spread … related to the lognormal martingale process of a corresponding maturity forward LIBOR rate through a Brownian motion. An …
Persistent link: https://www.econbiz.de/10013079656
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Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; … - In: Quantitative finance 18 (2018) 1, pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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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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Inflation-adjusted bonds, swaps, and derivatives
Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471
Persistent link: https://www.econbiz.de/10014426345