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Hui, Cho H.; Lo, Chi-Fai; Fung, Chin-To - 2017

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Breakdown of covered interest parity : mystery or myth?

Wong, Alfred Y.; Zhang, Jiayue - 2017

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Analysing cross-currency basis spreads

Baran, Jaroslav; Witzany, Jiří - In: Ekonomický časopis : časopis pre ekonomickú … 66 (2018) 10, pp. 1002-1030

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Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model

Baviera, Roberto - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10012153037

Breakdown of covered interest parity : mystery or myth?

Wong, Alfred Y.; Zhang, Jiayue - 2018

that the swap dealer behaves as if he tries to align the risks of the transactions in pricing CCBSs, which causes CIP to …

Persistent link: https://www.econbiz.de/10011791979

A consistent stochastic model of the term structure of interest rates for multiple tenors

Alfeus, Mesias; Grasselli, Martino; Schlögl, Erik - 2017

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OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads

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An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model

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A libor market model including credit risk under the real-world measure

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A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank review / Central Bank of the Republic of Turkey 21 (2021) 2, pp. 49-57

banking sector in international markets by calculating asset swap spread for US dollar-denominated fixed coupon eurobonds … and banking sector yield curves and then constructs a synthetic asset swap structure to obtain embedded credit risk premia … default swap premium. In addition to this, estimated eurobond curves are also useful for monitoring borrowing cost dynamics of …

Persistent link: https://www.econbiz.de/10012592021