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Interest rate dynamics and consistent forward rate curves

Björk, Tomas; Christensen, Bent Jesper - 1999

Persistent link: https://www.econbiz.de/10008664852

Valuation of volatility sensitive interest rate derivatives in an emerging market

Witzany, Jiří - In: International journal of financial markets and derivatives 1 (2010) 4, pp. 438-451

Persistent link: https://www.econbiz.de/10008665631

Estimating interest rate curves by support vector regression

Monteiro, André d'Almeida - In: Econometric reviews 29 (2010) 5/6, pp. 717-753

Persistent link: https://www.econbiz.de/10008668099

Impact of credit spreads, monetary policy and convergence trading on swap spreads

Chung, Hon-lun; Chan, Wai-Sum - In: International review of financial analysis 19 (2010) 2, pp. 118-126

Persistent link: https://www.econbiz.de/10008669492

A comparison of single factor Markov-functional and multi factor market models

Pietersz, Raoul; Pelsser, Antoon André Jean - In: Review of derivatives research 13 (2010) 3, pp. 245-272

Persistent link: https://www.econbiz.de/10008695888

A forecast evaluation of PCA-based adaptive forecasting schemes for the EURIBOR swap term structure

Blaskowitz, Oliver Jim - 2009

Persistent link: https://www.econbiz.de/10003934002

Global financial crisis and US interest rate swap spreads

Ito, Takayasu - In: Applied financial economics 20 (2010) 1/3, pp. 37-43

This article investigates the determinants of US interest rate swap spreads in the period including the financial crisis. The asymmetric impacts of the financial crisis on interest rate swap spreads are focused by dividing the whole sample period into two. Four determinants of swap spreads -...

Persistent link: https://www.econbiz.de/10003935962

Pricing interest rate derivates under different interest rate modeling : a critical and empirical comparison

De Simone, Antonio - In: Investment management and financial innovations 7 (2010) 2, pp. 49-58

Persistent link: https://www.econbiz.de/10003968762

Modern LIBOR market models : using different curves for projecting rates and for discounting

Mercurio, Fabio - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 113-137

Persistent link: https://www.econbiz.de/10008860420

Pricing CMS spread options in a Libor market model

Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 45-62

Persistent link: https://www.econbiz.de/10008860424

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