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1
Breakdown of covered interest parity : mystery or myth?
Wong, Alfred Y.
;
Zhang, Jiayue
-
2017
Persistent link: https://www.econbiz.de/10012201638
Saved in:
2
Analysing cross-currency basis spreads
Baran, Jaroslav
;
Witzany, Jiří
- In:
Ekonomický časopis : časopis pre ekonomickú …
66
(
2018
)
10
,
pp. 1002-1030
Persistent link: https://www.econbiz.de/10012152949
Saved in:
3
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
Saved in:
4
Demand-supply imbalance risk and long-term
swap
spreads
Hanson, Samuel G.
;
Malkhozov, Aytek
;
Venter, Gyuiri
-
2022
Persistent link: https://www.econbiz.de/10013172797
Saved in:
5
Fixed interest player v/s floating interest player : tug of war
Ahamed, Naseem
- In:
Theoretical economics letters
5
(
2015
)
4
,
pp. 469-475
Persistent link: https://www.econbiz.de/10011439295
Saved in:
6
A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki
;
Takahashi, Akihiko
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
Saved in:
7
OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads
Hull, John
;
White, Alan
- In:
Journal of investment management : JOIM
13
(
2015
)
1
,
pp. 64-83
Persistent link: https://www.econbiz.de/10011635240
Saved in:
8
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
9
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
Saved in:
10
Swap
Futures in HJM One-Factor Model
Kennedy, Gary J.
-
2010
Explicit and semi-explicit formulae are obtained for
swap
futures within a HJM one factor model. The convexity …
Persistent link: https://www.econbiz.de/10013139852
Saved in:
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