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Basis risk and net interest income of banks
Mielus, Piotr; Mironczuk, Tomasz; Zamojska, Anna - In: Folia oeconomica Stetinensia : FOS 16 (2016) 2, pp. 40-59
Persistent link: https://www.econbiz.de/10011774133
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Risk taking and low longer-term interest rates : evidence from the U.S. syndicated term loan market
Aramonte, Sirio; Lee, Seung Jung; Stebunovs, Viktors - In: Journal of banking & finance 138 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013461931
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Explaining the level of credit spreads : option-implied jump risk premia in a firm value model
Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J. - In: The review of financial studies 21 (2008) 5, pp. 2209-2242
Persistent link: https://www.econbiz.de/10003765155
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Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797794
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Valuation of guaranteed annuity options in affine term structure models
Chu, Chi Chiu; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 363-387
Persistent link: https://www.econbiz.de/10003441993
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Volatility and price information contained in selected agricultural futures options
Egelkraut, Thorsten Michael - 2005
Persistent link: https://www.econbiz.de/10003380192
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Dynamic modelling of mean-reverting spreads for statistical arbitrage
Triantafyllopoulos, K.; Montana, G. - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 23-49
Persistent link: https://www.econbiz.de/10008992079
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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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Zero bound, option-implied PDFs, and term structure models
Kim, Don H. - 2008
Persistent link: https://www.econbiz.de/10003830157
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Explaining the level of credit spreads : option-implied jump risk premia in a firm value model
Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J.; … - 2005
Persistent link: https://www.econbiz.de/10003222023