Similar Search Results

Rebonato, Riccardo - In: Annual review of financial economics 15 (2023), pp. 493-522

Persistent link: https://www.econbiz.de/10014426352

Kim, Kyounghee - 2010

Statistical analyses of forward interest rate behavior provide evidence that these rates share a common volatility. We develop a risk-neutral term structure model based on this assumption. The main feature of this model is that each discounted bond price is both an explicit local martingale and...

Persistent link: https://www.econbiz.de/10013152914

About long-term cross-currency Bermuda swaption pricing

Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262

Persistent link: https://www.econbiz.de/10012272028

Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - 2023

Persistent link: https://www.econbiz.de/10013502696

The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets

Bachmair, Kilian - 2023

Persistent link: https://www.econbiz.de/10013530819

The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets

Bachmair, Kilian - 2023

In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by …. The regulatory response could not have been stronger: the LIBOR was not just reformed but discontinued altogether ….By studying 3-months LIBOR futures, this paper evaluates the consequences four scandal-related events have had on liquidity and …

Persistent link: https://www.econbiz.de/10014255066