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Continuous-time methods in finance : a review and an assessment

Sundaresan, Suresh M. - In: The journal of finance : the journal of the American … 55 (2000) 4, pp. 1569-1622

Persistent link: https://www.econbiz.de/10001505405

Euro area sovereign bond risk premia during the Covid-19 pandemic

Corradin, Stefano; Grimm, Niklas; Schwaab, Bernd - 2021

We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v) segmentation (convenience) premium. Iden- tification is...

Persistent link: https://www.econbiz.de/10012519519

Euro area sovereign bond risk premia before and during the Covid-19 pandemic

Corradin, Stefano; Schwaab, Bernd - In: European economic review : EER 153 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014430964

The impact of collateralization on swap rates

Johannes, Michael; Sundaresan, Suresh M. - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 383-410

Persistent link: https://www.econbiz.de/10003425912

Asset prices and default-free term structure in an equilibrium model of default

Chang, Ganlin; Sundaresan, Suresh M. - In: The journal of business : B 78 (2005) 3, pp. 997-1021

Persistent link: https://www.econbiz.de/10003050958

Corporate bond yield spreads and the term structure

Anderson, Ronald W.; Pan, Yonghua; Sundaresan, Suresh M. - In: Finance : revue de l'Association Française de Finance 21 (2000) 2, pp. 15-37

Persistent link: https://www.econbiz.de/10001559693

Continuous-time methods in finance : a review and an assessment

Sundaresan, Suresh M. - 2000

Persistent link: https://www.econbiz.de/10001471305

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

An explanation of negative swap spreads : demand for duration from underfunded pension plans

Klingler, Sven; Sundaresan, Suresh M. - 2018

Persistent link: https://www.econbiz.de/10011866843