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Zero-coupon yield curves : technical documentation
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Monetary policy and interest rates : proceedings of a conference sponsored by Banca d'Italia, Centro Paolo Baffi and the Innocenzo Gasparini Institute for Economic Research (IGIER)
9
Developments in macro-finance Yield curve modelling
8
Interest rate futures : concepts and issues
8
New methods in fixed income modeling : fixed income modeling
8
The handbook of fixed income securities
8
The determination of long-term interest rates and exchange rates and the role of expectations
7
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7
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
4
Financial econometrics modeling : derivatives pricing, hedge funds and term structure models
4
Geld, Finanzwirtschaft, Banken und Versicherungen : 1996 ; Beiträge zum 7. Symposium Geld, Finanzwirtschaft, Banken und Versicherungen an der Universität Karlsruhe vom 11.- 13. Dezember 1996
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Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
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The role of asset prices in the formulation of monetary policy
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Econometric analysis of financial markets
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Essays on the determinants of corporate bond yield spreads
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Information in financial asset prices : proceedings of a conference held by the Bank of Canada, May 1998
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Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
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The handbook of municipal bonds
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Artificial neural networks in finance and manufacturing
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Computational finance and its applications III : [papers presented at the Conference Computational Finance 2008, held in Cádiz in Spain]
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Computational methods in financial engineering : essays in honour of Manfred Gilli
2
Contemporary issues in economics and econometrics : theory and applications; [Australian Meeting of the Econometric Society ... ]
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Handbook of research methods and applications in empirical finance
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1
The determinants of the swap spread and understanding the LIBOR term premium
Choudhry, Moorad
-
2008
Persistent link: https://www.econbiz.de/10003763816
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2
Estimating LIBOR swaps spot-volatilities : the EpiVolatility model
Bianchi, Stephen W.
;
Wets, Roger J.-B.
;
Yang, Liming
- In:
Dynamic stochastic optimization : [this volume includes …
,
(pp. 99-114)
.
2004
Persistent link: https://www.econbiz.de/10003487959
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3
A survey on modeling and analysis of basis spreads
Fujii, Masaaki
;
Takahashi, Akihiko
- In:
Recent advances in financial engineering 2011: …
,
(pp. 43-53)
.
2012
Persistent link: https://www.econbiz.de/10009573489
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4
Bootstrapping the illiquidity : multiple-yield-curve construction for market-coherent discount and FRA rates estimation
Ametrano, Ferdinando M.
;
Bianchetti, Marco
- In:
Interest rate modelling after the financial crisis
,
(pp. 153-215)
.
2013
Persistent link: https://www.econbiz.de/10011456972
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5
Irony in derivative discounting : after the crisis
Henrard, Marc
- In:
Interest rate modelling after the financial crisis
,
(pp. 217-239)
.
2013
Persistent link: https://www.econbiz.de/10011456981
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6
Interest rate modelling under full collateralisation
Fujii, Masaaki
;
Takahashi, Akihiko
- In:
Interest rate modelling after the financial crisis
,
(pp. 241-282)
.
2013
Persistent link: https://www.econbiz.de/10011456985
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7
Building curves on a good basis
Chibane, Messaoud
;
Selvaraj, Jayaprakash
;
Sheldon, Guy
- In:
Interest rate modelling after the financial crisis
,
(pp. 283-310)
.
2013
Persistent link: https://www.econbiz.de/10011456993
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8
Libor market models with stochastic basis
Mercurio, Fabio
- In:
Interest rate modelling after the financial crisis
,
(pp. 323-368)
.
2013
Persistent link: https://www.econbiz.de/10011456998
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9
Calibration, simulation and hedging in a Heston libor market model with stochastic basis
Amin, Ahsan
- In:
Interest rate modelling after the financial crisis
,
(pp. 369-391)
.
2013
Persistent link: https://www.econbiz.de/10011457001
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10
Multi-curve low dimensional Markovian models in an HJM framework
Torrealba Palacios, Manuel
- In:
Interest rate modelling after the financial crisis
,
(pp. 417-454)
.
2013
Persistent link: https://www.econbiz.de/10011457035
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