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Zinsrisikopotential : Kennziffer zur Quantifizierung des Zinsrisikos von Zinsswaps, -futures und -optionen
Oberman, Raoul F. - 1990
Persistent link: https://www.econbiz.de/10000816971
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Modelling the US swap spread
Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: Research in finance 26 (2010), pp. 155-181
Persistent link: https://www.econbiz.de/10009241013
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What determines U.S. swap spreads?
Kóbor, Ádám - 2005
Persistent link: https://www.econbiz.de/10010522778
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Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach
Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862
Persistent link: https://www.econbiz.de/10009625006
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The effects of volatility spillover in the US basis swap markets
Bhargava, Vivek; Malhotra, Davinder Kumar - In: International journal of financial services management … 5 (2011/11) 3, pp. 216-238
Persistent link: https://www.econbiz.de/10009707033
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Common risk factors in the US and UK interest rate swap markets : evidence from a non-linear vector autoregression approach
Lekkos, Ilias; Milas, Costas - 2002
Persistent link: https://www.econbiz.de/10001664578
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Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John; White, Alan - In: The journal of fixed income 10 (2000) 2, pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
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An empirical examination of basic valuation models for plain vanilla US interest rate swaps
Minton, Bernadette A. - In: Journal of financial economics 44 (1997) 2, pp. 251-277
Persistent link: https://www.econbiz.de/10001222156
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Over-the-counter interest rate derivatives
Kuprianov, Anatoli - In: Economic quarterly 79 (1993) 3, pp. 65-94
Persistent link: https://www.econbiz.de/10001150445