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Datoo, Akber - In: Journal of securities operations & custody 12 (2020) 3, pp. 255-265

Persistent link: https://www.econbiz.de/10012294585

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

The determinants of the swap spread and understanding the LIBOR term premium

Choudhry, Moorad - 2008

Persistent link: https://www.econbiz.de/10003763816

Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802

Persistent link: https://www.econbiz.de/10009381011

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

Linear-rational term structure models

Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...

Persistent link: https://www.econbiz.de/10010338764

Riding the swaption curve

Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75

Persistent link: https://www.econbiz.de/10011544291

What determines the yen swap spread?

Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor - In: International review of financial analysis 40 (2015), pp. 1-13

Persistent link: https://www.econbiz.de/10011475583

The Swaption Cube

Trolle, Anders B. - 2016

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is …

Persistent link: https://www.econbiz.de/10013008774

Zero Yield and Asset Swap Spreads

Caspers, Peter - 2014

We compare zero yield and asset swap spreads both being used to specify the credit risk component in bond pricing. We … investigate how these both figures are related and how the asset swap spread depends on other pricing factors such as the riskfree …

Persistent link: https://www.econbiz.de/10013050952

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