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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
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Interbank interest rates : funding liquidity risk and XIBOR basis spreads
Gallitschke, Janek; Seifried, Stefanie; Seifried, Frank … - In: Journal of banking & finance 78 (2017), pp. 142-152
Persistent link: https://www.econbiz.de/10011815126
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An explanation of negative swap spreads : demand for duration from underfunded pension plans
Klingler, Sven; Sundaresan, Suresh M. - 2018
Persistent link: https://www.econbiz.de/10011866843
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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
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Estimation of bid-ask prices for options on LIBOR based instruments
Sonono, Masimba Energy; Mashele, Hopolang Phillip - In: Finance research letters 19 (2016), pp. 33-41
Persistent link: https://www.econbiz.de/10011657436
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A unified view of LIBOR models
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis - In: Advanced modelling in mathematical finance : in honour …, (pp. 423-452). 2016
Persistent link: https://www.econbiz.de/10011800390
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The end of LIBOR : on interest rate benchmark reform, alternative risk-free rates, IBOR fallbacks, LIBOR cessation and transition
Read, Oliver; Beißer, Jochen - 2021
Persistent link: https://www.econbiz.de/10013331113
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US Dollar swaps after LIBOR
Heidorn, Thomas; Meier, Rebecca - 2024
developments in a changing financial landscape. This paper discusses the change from US$-LIBOR to the Secured Overnight Financing …
Persistent link: https://www.econbiz.de/10014468854
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Short-term ratebBenchmarks : the post-LIBOR regime
Tuckman, Bruce - In: Annual review of financial economics 15 (2023), pp. 473-491
Persistent link: https://www.econbiz.de/10014426350
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Decomposing LIBOR in transition : evidence from the futures markets
Skov, Jacob Bjerre; Skovmand, David - In: Quantitative finance 23 (2023) 6, pp. 959-978
Persistent link: https://www.econbiz.de/10014304406