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An empirical analysis of the pricing of interest rate caps
Jegadeesh, Narasimhan - 1994
Persistent link: https://www.econbiz.de/10000885251
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The statistical distribution of short-term libor rates under two monetary regimes
Pesaran, Bahram; Robinson, Gary - 1993
Persistent link: https://www.econbiz.de/10000868578
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360
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Pricing interest-rate derivatives : a fourier-transform based approach
Bouziane, Markus - 2008
Persistent link: https://www.econbiz.de/10003571605
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Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence
Kobold, Klaus - 1986
Persistent link: https://www.econbiz.de/10010518377
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The asymptotic behavior of the term structure of interest rates
Härtel, Maximilian - 2015 - 1. Auflage
Persistent link: https://www.econbiz.de/10011416533
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The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives
Harris, Geoffrey R.; Wu, Tao L.; Yang, Jiarui - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 93-127
Persistent link: https://www.econbiz.de/10011298489
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Libor manipulation?
Abrantes Metz, Rosa Maria Fontes; Kraten, Michael; … - In: Journal of banking & finance 36 (2012) 1, pp. 136-150
Persistent link: https://www.econbiz.de/10009411158
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The effect of underreporting on LIBOR rates
Monticini, Andrea; Thornton, Daniel L. - In: Journal of macroeconomics 37 (2013), pp. 345-348
Persistent link: https://www.econbiz.de/10010237905
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An n-dimensional Markov-functional interest rate model
Kaisajuntti, Linus; Kennedy, Joanne E. - In: The journal of computational finance 17 (2013) 1, pp. 3-41
Persistent link: https://www.econbiz.de/10010337822