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Inflation-adjusted bonds, swaps, and derivatives
Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471
Persistent link: https://www.econbiz.de/10014426345
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Term structure of interest rates with short-run and long-run risks
Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295
interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …
Persistent link: https://www.econbiz.de/10014433708
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Bond portfolio management, swap strategy, duration, and convexity
Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015047705
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Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets
Neftci, Salih N. - 2003
interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall …
Persistent link: https://www.econbiz.de/10014404000
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Random Walks in Fixed Income and Foreign Exchange : Unexpected Discoveries in Issuance, Investment and Hedging of Yield Curve Instruments
James, Jessica; Leister, Michael; Rieger, Christoph - 2021
practitioner-orientated market research on many specialist areas of the bond and FX markets. Written by the highly regarded FX and …
Persistent link: https://www.econbiz.de/10014550540
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Die Bewertung von Zinsoptionen
Walter, Ulrich - 1996
Persistent link: https://www.econbiz.de/10000560789
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Arbitragefreie Bewertung von Zinsderivaten
Heitmann, Frank - 1997
Persistent link: https://www.econbiz.de/10000959293
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A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to...
Persistent link: https://www.econbiz.de/10003635097
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360