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Futures prices on yields, forward prices, and implied forward prices from term structure

Sundaresan, Suresh M. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 409-424

Persistent link: https://www.econbiz.de/10001113528

Fixed income markets and their derivatives

Sundaresan, Suresh M. - 2009 - 3. ed.

Persistent link: https://www.econbiz.de/10003826247

Option listing and stock returns : an empirical analysis

Detemple, Jérôme B. - In: Journal of banking & finance 14 (1990) 4, pp. 781-801

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A Monte Carlo method for optimal portfolios

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: The journal of finance : the journal of the American … 58 (2003) 1, pp. 401-446

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Y2K options and the liquidity premium in treasury bond markets

Sundaresan, Suresh; Wang, Zhenyu - 2006

Financial institutions around the world expected the millennium date change (Y2K) to cause an aggregate liquidity shortage. Responding to concerns about this liquidity shortage, the Federal Reserve Bank of New York auctioned Y2K options to primary dealers. The options gave the dealers the right...

Persistent link: https://www.econbiz.de/10010283316