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JEL Code: E43
341,372 Total downloads
Showing Papers 121 - 170 of 1,867
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Bank Liquidity, Interbank Markets, and Monetary Policy FRB of New York Staff Report No. 371, European Banking Center Discussion Paper No. 2010-08S, CentER Discussion Paper Series No. 2010-35S
Xavier Freixas ,
Antoine Martin and
David R. Skeie
Date Posted: May 22, 2009Last Revised: April 08, 2010584 downloads
Index-Linked Debt and The Real Term Structure: New Estimates and Implications from the U.K.
Martin D.D. Evans
Date Posted: December 11, 1996584 downloads
An Introduction to Microcredit: Why Money is Flowing from the Rich to the Poor Cahiers du CEREN Working Paper No. 21
Date Posted: February 04, 2008Last Revised: October 12, 2008572 downloads
The Expectations Theory of the Term Structure of Interest Rates and Monetary Policy
Eliseo Navarro Arribas
Date Posted: July 16, 2000568 downloads
Systematic Movements in Macroeconomic Releases and the Term Structure of Interest Rates EFA 2006 Zurich Meetings
Liuren Wu and
Biao Lu
Date Posted: July 28, 2005567 downloads
An Affine Model for International Bond Markets EFA 2001 Barcelona Meetings; CES Discussion Paper No. 01.06
Hans Dewachter and
Stan Maes
Date Posted: April 04, 2001562 downloads
A Generalized Ornstein-Uhlenbeck Process of Yield Rates Calibrated with Strips
Jacques F. Carriere
Date Posted: April 18, 1999554 downloads
The Long-run Risks Model: What Differences Can an Extra Volatility Factor Make?
Guofu Zhou and
Yingzi Zhu
Date Posted: May 13, 2009Last Revised: March 10, 2013554 downloads
Inflation Ambiguity and the Term Structure of U.S. Government Bonds AFA 2008 New Orleans Meetings Paper
Maxim Ulrich
Date Posted: November 14, 2008Last Revised: August 29, 2012552 downloads
An Efficient GPU-Based Parallel Algorithm for Pricing Multi-Asset American Options
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: September 08, 2010Last Revised: April 02, 2011551 downloads
A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility
Jacob Boudoukh ,
Richard Stanton ,
Matthew P. Richardson and
Robert Whitelaw
Date Posted: August 13, 1999549 downloads
Generic Market Models
ERIM Report Series Reference No. ERS-2005-010-F&A
Raoul Pietersz
and
Marcel Van Regenmortel
Date Posted: October 16, 2004548 downloads
Design and Estimation of Multi-Currency Quadratic Models
Markus Leippold and
Liuren Wu
Date Posted: January 15, 2004547 downloads
Average Internal Rate of Return and Investment Decisions: A New Perspective The Engineering Economist, Vol. 55, No. 2, pp. 150-180, 2010
Carlo Alberto Magni
Date Posted: January 27, 2010Last Revised: December 03, 2012542 downloads
The Term Structure of Interest Rates as a Random Field The Charles A. Dice Center for Research in Financial Economics Working Papers Series, 97-5
Robert S. Goldstein
Date Posted: August 21, 1997541 downloads
The Term Structure of Simple Forward Rates with Jump Risk
Paul Glasserman and
Steven G. Kou
Date Posted: June 07, 2000540 downloads
Cointegration and Threshold Adjustment
Pierre L. Siklos and
Walter Enders
Date Posted: February 24, 1998536 downloads
Swaptions in Libor Market Model with Local Volatility
Marc P. A. Henrard
Date Posted: February 28, 2008Last Revised: January 21, 2009535 downloads
Properties of Foreign Exchange Risk Premiums Journal of Financial Economics (JFE), Forthcoming
Lucio Sarno ,
Paul Schneider and
Christian Wagner
Date Posted: August 24, 2009Last Revised: July 13, 2011529 downloads
Japan's Deflation, Problems in the Financial System and Monetary Policy BIS Working Paper No. 188
Naohiko Baba
,
Shinichi Nishioka
,
Nobuyuki Oda ,
Masaaki Shirakawa
,
Kazuo Ueda and
Hiroshi Ugai
Date Posted: December 01, 2005528 downloads
Bond Variance Risk Premia
Philippe Mueller
,
Andrea Vedolin and
Yu-Min Yen
Date Posted: January 02, 2012Last Revised: January 25, 2012524 downloads
'True' Stochastic Volatility and a Generalized Class of Affine Models
Pierre Collin-Dufresne and
Robert S. Goldstein
Date Posted: June 13, 2000520 downloads
Explaining the Forward Interest Rate Term Structure
Andrew Matacz and
Jean-Philippe Bouchaud
Date Posted: November 15, 1999520 downloads
New Techniques to Extract Market Expectations from Financial Instrument Stockholm School of Economics, Working Paper No. 142
Lars E. O. Svensson and
Paul Söderlind
Date Posted: March 24, 1997520 downloads
The Yield Curve and Predicting Recessions FEDs Working Paper No. 2006-7
Jonathan H. Wright
Date Posted: May 03, 2006516 downloads
Information in the Term Structure of Yield Curve Volatility
Anna Cieslak
and
Pavol Povala
Date Posted: August 20, 2009Last Revised: May 14, 2013512 downloads
CMS Swaps and Caps in One-Factor Gaussian Models
Marc P. A. Henrard
Date Posted: May 14, 2007Last Revised: February 12, 2008506 downloads
An Empirical Investigation of the Forward Interest Rate
Term Structure
Jean-Philippe Bouchaud and
Andrew Matacz
Date Posted: August 12, 1999502 downloads
Design and Estimation of Quadratic Term Structure Models ISB Working Paper No. 2002-3
Markus Leippold and
Liuren Wu
Date Posted: July 20, 2002502 downloads
Asset Liability Management in Indian Banking Industry - With Special Reference to Interest Rate Risk Management in ICICI Bank Referred International Conference Proceedings of the World Congress on Engineering, London, UK, Vol. 2I, pp. 1149-1154, 2008
Charumathi Balakrishnan
Date Posted: October 11, 2010Last Revised: April 29, 2012501 downloads
An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates FEDS Working Paper No. 2005-33
Jonathan H. Wright
Date Posted: October 05, 2005500 downloads
The Valuation of American-style Swaptions in a Two-factor Spot Futures Model
Sandra Peterson ,
Richard C. Stapleton and
Marti G. Subrahmanyam
affiliation not provided to SSRN
,
University of Strathclyde, Glasgow - Department of Accounting and Finance
and
New York University - Stern School of Business
Date Posted: January 15, 2000499 downloads
The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Paul Schneider ,
Leopold Sögner and
Tanja Veza
Date Posted: March 19, 2008Last Revised: May 21, 2009485 downloads
Asset Pricing with Matrix Jump Diffusions
Markus Leippold and
Fabio Trojani
Date Posted: September 27, 2008Last Revised: February 02, 2010484 downloads
Modeling of Interest Rate Term Structures Under Collateralization and its Implications
Masaaki Fujii
,
Yasufumi Shimada
and
Akihiko Takahashi
Date Posted: September 25, 2010484 downloads
Short and Long Horizon Term and Inflation Risk Premia in the US Term Structure: Evidence from an Integrated Model for Nominal and Real Bond Prices Under Regime Shifts Center for Research in Security Prices (CRSP) Working Paper No. 508
Francis Yared and
Pietro Veronesi
Date Posted: February 03, 2000484 downloads
Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics
Laurent E. Calvet ,
Adlai J. Fisher and
Liuren Wu
Date Posted: March 17, 2010Last Revised: April 16, 2013483 downloads
Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units
Duy Minh Dang
Date Posted: November 04, 2009Last Revised: February 17, 2010482 downloads
Hidden Cointegration U of California, Economics Working Paper No. 2002-02
Clive W. J. Granger and
Gawon Yoon
Date Posted: June 05, 2002481 downloads
On the Information in the Interest Rate Term Structure and Option Prices Review of Derivatives Research, Vol. 7, No. 2, 2004
Frank de Jong ,
Joost Driessen and
Antoon Pelsser
Date Posted: February 28, 2002Last Revised: May 08, 2011481 downloads
Exact Analytical Valuation of Bonds when Spot Interest Rates are Log-Normal
Asbjorn T. Hansen and
Peter Løchte Jørgensen
Date Posted: August 21, 1998479 downloads
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data
Erik Schlogl and
Lutz Schlögl
Date Posted: April 17, 2000478 downloads
Explaining Loan Rate Differentials between Small and Large Companies: Evidence from an Explorative Study in Switzerland
Andreas Dietrich
Date Posted: January 26, 2009Last Revised: June 15, 2009478 downloads
The Real Term Structure and Consumption Growth
Campbell R. Harvey
Date Posted: October 08, 2005478 downloads
Why Long Term Forward Rates (Almost) Always Slope Downwards IFA Working Paper No. 299
Stephen M. Schaefer and
Roger H. Brown
Date Posted: March 27, 2000475 downloads
Verdict on the Crash: Causes and Policy Implications Institute of Economic Affairs Monographs, No. HPB 37, 2009
Philip Booth ,
Michael Beenstock ,
Eamonn Butler
,
Tim Congdon
,
Laurence Copeland ,
Kevin Dowd
,
Samuel Gregg
,
John Kay
,
David T. Llewellyn ,
Alan D. Morrison ,
D. R. Myddelton
,
Anna Schwartz
,
Geoffrey Wood ,
James Alexander
and
John Greenwood
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: September 23, 2009474 downloads
Monetary Policy Surprises and the Yield Curve Bank of England Working Paper No. 106
Andrew Haldane and
Vicky Read
Date Posted: November 16, 2000472 downloads
Credit Spreads and Real Activity EFA 2008 Athens Meetings Paper
Philippe Mueller
Date Posted: March 24, 2008Last Revised: March 15, 2011471 downloads
No-Arbitrage Macroeconomic Determinants of the Yield Curve AFA 2006 Boston Meetings Paper, EFA 2005 Moscow Meetings Paper
Ruslan Bikbov and
Mikhail Chernov
Date Posted: July 11, 2005470 downloads
Efficient Portfolios with Endogenous Liabilities Swiss Banking Institute Working Paper No. WP L3
Markus Leippold ,
Paolo Vanini and
Fabio Trojani
Date Posted: April 23, 2003468 downloads
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