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Interest rate derivative markets in Hungary between 2009 and 2012 in light of the K14 dataset
Kocsis, Zalán; Csávás, Csaba; Mák, István; Pulai, … - 2013
MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...
Persistent link: https://www.econbiz.de/10010222120
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - 2016
and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …
Persistent link: https://www.econbiz.de/10011516038
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Potential credit exposure on interest rate swaps
Bond, Ian; Murphy, Gareth; Robinson, Gary - 1994
Persistent link: https://www.econbiz.de/10000892772
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Kapitalmarkt-Swaps : Strukturen und Risiken
Jentzsch, Stefan J. - 1989
Persistent link: https://www.econbiz.de/10000776139
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Zinsrisikopotential : Kennziffer zur Quantifizierung des Zinsrisikos von Zinsswaps, -futures und -optionen
Oberman, Raoul F. - 1990
Persistent link: https://www.econbiz.de/10000816971
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Evaluating the credit exposure of interest rate swap portfolios
Wall, Larry D.; Fung, Kwun-wing - 1987 - Rev
Persistent link: https://www.econbiz.de/10000825958
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Valuation of default-risky interest-rate swaps
Abken, Peter A. - 1991 - Rev
Persistent link: https://www.econbiz.de/10000825965
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The pricing behavior of interest rate swap contracts
Dhrymes, Phoebus J.; Lee, Sung R. - 1991
Persistent link: https://www.econbiz.de/10000826365
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Finanzinnovationen im Debt-Management
Pampel, Ralf - 1993
Persistent link: https://www.econbiz.de/10000871215