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Admissibility of generic market models of forward swap rates
Li, Libo; Rutkowski, Marek - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
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A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang; Schlögl, Erik - 2014
Persistent link: https://www.econbiz.de/10011344803
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Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
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Pricing and risk management of interest rate swaps
Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-chieh - In: European journal of operational research : EJOR 228 (2013) 1, pp. 102-111
Persistent link: https://www.econbiz.de/10009734148
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Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach
Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862
Persistent link: https://www.econbiz.de/10009625006
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Interest rates after credit crunch : markets and models evolution
Bianchetti, Marco; Carlicchi, Mattia - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 35-48
Persistent link: https://www.econbiz.de/10009629252
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The effects of volatility spillover in the US basis swap markets
Bhargava, Vivek; Malhotra, Davinder Kumar - In: International journal of financial services management … 5 (2011/11) 3, pp. 216-238
Persistent link: https://www.econbiz.de/10009707033
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On valuing constant maturity swap spread derivatives
Tchuindjo, Léonard - In: Journal of mathematical finance 2 (2012) 2, pp. 189-194
Persistent link: https://www.econbiz.de/10009719245
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Valuing interest rate swaps using overnight indexed swap (OIS) discounting
Smith, Donald J. - In: The journal of derivatives : the official publication … 20 (2013) 4, pp. 49-59
Persistent link: https://www.econbiz.de/10009760534
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - 2014
needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …
Persistent link: https://www.econbiz.de/10010358352