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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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Valuation of default-risky interest-rate swaps
Abken, Peter A. - 1991 - Rev
Persistent link: https://www.econbiz.de/10000825965
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Massachusetts sells LIBOR index general obligation bonds with an interest rate swap
Feldstein, Sylvan G.; Landers, Patrick - In: The handbook of municipal bonds, (pp. 1253-1256). 2008
Persistent link: https://www.econbiz.de/10003715614
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A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets
Murphy, Finbarr; Murphy, Bernard - In: Journal of economics and finance 36 (2012) 2, pp. 351-370
Persistent link: https://www.econbiz.de/10009581884
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
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Duration gaps with futures and swaps for managing interest rate risk at depository institutions
Bierwag, Gerald O. - In: Journal of financial services research : JFSR 5 (1992) 3, pp. 217-234
Persistent link: https://www.econbiz.de/10001119542
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Interest Rate Swap Credit Valuation Adjustment
Cerny, Jakub - 2019
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/10012905270
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Interest Rate Swap Compounding Formulae
Burgess, Nicholas - 2021
Persistent link: https://www.econbiz.de/10013217334
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Analytical Deltas for Interest Rate Swaps
de Mesquita, Adrian - 2021
As markets become more electronic and inevitably faster, we see the increasing importance of efficient methods for pricing and risk. This paper introduces analytical deltas for general interest rate swaps
Persistent link: https://www.econbiz.de/10013224792