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A general stochastic volatility model for the pricing and forecasting of interest rate derivatives

Trolle, Anders B.; Schwartz, Eduardo S. - 2006

Persistent link: https://www.econbiz.de/10003343404

A general stochastic volatility model for the pricing of interest rate derivatives

Trolle, Anders B.; Schwartz, Eduardo S. - In: The review of financial studies 22 (2009) 5, pp. 2007-2057

Persistent link: https://www.econbiz.de/10003886038

Term-structure estimation in markets with infrequent trading

Cortazar, Gonzalo; Schwartz, Eduardo S.; Naranjo, Lorenzo F. - In: International journal of finance & economics : IJFE 12 (2007) 4, pp. 353-369

Persistent link: https://www.econbiz.de/10003564026

Towards a common Eurozone risk free rate

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 21 (2015) 10/12, pp. 1005-1022

Persistent link: https://www.econbiz.de/10011301938

Credit spreads in illiquid markets : model and implementation

Cortazar, Gonzalo; Schwartz, Eduardo S.; Tapia … - In: Emerging markets finance & trade : a journal of the … 48 (2012) 6, pp. 53-72

Persistent link: https://www.econbiz.de/10009721136

An empirical analysis of the swaption cube

Trolle, Anders B.; Schwartz, Eduardo S. - 2010

"We use a comprehensive database of inter-dealer quotes to conduct the first empirical analysis of the dynamics of the swaption cube. Using a model independent approach, we establish a set of stylized facts regarding the cross-sectional and time-series variation of conditional volatility and...

Persistent link: https://www.econbiz.de/10008749031

The swaption cube

Trolle, Anders B.; Schwartz, Eduardo S. - In: The review of financial studies 27 (2014) 8, pp. 2307-2353

Persistent link: https://www.econbiz.de/10010463486

The relative valuation of caps and swaptions : theory and empirical evidence

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109

Persistent link: https://www.econbiz.de/10001631728

Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of financial economics 62 (2001) 1, pp. 39-66

Persistent link: https://www.econbiz.de/10001608810

Convergence within the EU : evidence from interest rates

Corzo Santamaria, Teresa; Schwartz, Eduardo S. - In: Economic notes : economic review of Banca Monte dei … 29 (2000) 2, pp. 243-266

Persistent link: https://www.econbiz.de/10001495522