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JEL Code: E43
341,847 Total downloads
Showing Papers 61 - 110 of 1,869
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Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Pierre Collin-Dufresne and
Robert S. Goldstein
Date Posted: October 09, 2001951 downloads
LIBOR-In-Arrears Swaps Journal of Derivatives, Spring 1996
Anlong Li and
Vijay raghavan
Date Posted: October 22, 2000943 downloads
Decomposing the Yield Curve AFA 2010 Atlanta Meetings Paper
John H. Cochrane and
Monika Piazzesi
Date Posted: January 26, 2009Last Revised: March 19, 2009940 downloads
Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management
Masaaki Fujii
,
Yasufumi Shimada
and
Akihiko Takahashi
Date Posted: May 12, 2010938 downloads
Nominal and Inflation Indexed Yields: Separating Expected Inflation and Inflation Risk Premia
Stefano Risa
affiliation not provided to SSRN
Date Posted: April 16, 2001929 downloads
Stochastic Volatility
Torben G. Andersen and
Luca Benzoni
Date Posted: December 21, 2007Last Revised: July 16, 2010919 downloads
Monetary Operations and Government Debt Management Under Islamic Banking IMF Working Paper No. 98/144
V. Sundararajan ,
David Marston
and
Ghiath Shabsigh
Date Posted: February 15, 2006913 downloads
How Strong is the Relation Between the Term Structure, Inflation and GDP?
Andrea Berardi
Date Posted: June 03, 2001901 downloads
A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives
Duy Minh Dang ,
Christina Christara
,
Kenneth R. Jackson
and
Asif Lakhany
Date Posted: November 10, 2009Last Revised: May 02, 2010898 downloads
A Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: April 03, 2010Last Revised: January 02, 2011891 downloads
Held Up in Due Course: Predatory Lending, Securitization, and The Holder in Due Course Doctrine Creighton Law Review, Vol. 35, p. 503, 2002
Kurt Eggert
Date Posted: May 26, 2006890 downloads
Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia: Theory and Evidence from TIPS
Ren-Raw Chen ,
Bo Liu
and
Xiaolin Cheng
Date Posted: September 29, 2005890 downloads
The Economic Value of Fundamental and Technical Information in Emerging Currency Markets ERIM Report Series Reference No. ERS-2007-096-F&A, EFA 2008 Athens Meetings Paper
Thijs D. Markwat ,
Dick J. C. van Dijk ,
Laurens A. P. Swinkels and
Gerben J. de Zwart
Date Posted: January 29, 2008Last Revised: October 19, 2010886 downloads
Multifactor Models for Managing Interest Rate Risk
Sanjay K. Nawalkha and
Gloria M. Soto
Date Posted: September 06, 2008847 downloads
Quadratic Term Structure Models LEWU 2000
Markus Leippold and
Liuren Wu
Date Posted: February 21, 2000838 downloads
Riding the Yield Curve: Diversification of Strategies
David S. Bieri and
Ludwig B. Chincarini
Date Posted: June 06, 2004836 downloads
Bermudan Swaptions in Gaussian HJM One-Factor Model: Analytical and Numerical Approaches
Marc P. A. Henrard
Date Posted: October 22, 2008Last Revised: May 10, 2010820 downloads
The Central Tendency: A Second Factor in Bond Yields
Silverio Foresi ,
Pierluigi Balduzzi and
Sanjiv Ranjan Das
Date Posted: October 26, 1995815 downloads
Bond Liquidity Premia Review of Financial Studies, (2012) 25 (4):1207-1254, EFA 2009 Bergen Meetings Paper
Jean-Sebastien Fontaine
and
René Garcia
Date Posted: March 01, 2007Last Revised: November 22, 2012804 downloads
The Term Structure of Interbank Risk Swiss Finance Institute Research Paper No. 11-34
Damir Filipovic and
Anders B. Trolle
Date Posted: September 08, 2011Last Revised: May 15, 2013798 downloads
Developments in Repo Markets During the Financial Turmoil BIS Quarterly, December 2008
Peter Hördahl and
Michael R. King
Date Posted: February 12, 2009790 downloads
The Term Structure of Interest-Rate Futures Prices EFA 2001 Barcelona Meetings
Richard C. Stapleton and
Marti G. Subrahmanyam
Date Posted: December 13, 1999787 downloads
Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics? EFA 2009 Bergen Meetings Paper
Albert Lee Chun
Date Posted: November 22, 2006Last Revised: February 03, 2013780 downloads
Forecasting Spot Interest Rate Volatility EFA 2000 Meetings Paper No. 0095
Miguel A. Ferreira
Date Posted: March 27, 2000773 downloads
The Impact of High and Growing Government Debt on Economic Growth: An Empirical Investigation for the Euro Area ECB Working Paper No. 1237
Cristina D. Checherita-Westphal
and
Philipp Rother
Date Posted: August 25, 2010762 downloads
The Yield Curve as a Leading Indicator: Some Practical Issues Current Issues in Economics and Finance, Vol. 12, No. 5, July/August 2006
Arturo Estrella and
Mary Trubin
Date Posted: September 20, 2006744 downloads
Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy IMF Working Paper No. 94/39
Carlo Cottarelli and
Angeliki Kourelis
Date Posted: February 15, 2006741 downloads
Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR
Marco Bianchetti
and
Mattia Carlicchi
Date Posted: March 14, 2011Last Revised: April 03, 2012730 downloads
What Moves the Bond Market? Economic Policy Review, Vol. 3, No. 4, December 1997
Michael J. Fleming and
Eli M. Remolona
Date Posted: September 24, 2007720 downloads
Gains from Active Bond Portfolio Management Strategies Journal of Fixed Income, Vol. 19, No. 4, 2010
Naomi E. Boyd
and
Jeffrey M. Mercer
Date Posted: September 14, 2010719 downloads
Maximum Likelihood Estimation of Non-Linear Continuous-Time Term-Structure Models
Peter Honore
Date Posted: August 21, 1996711 downloads
International Capital Flows and U.S. Interest Rates FRB International Finance Discussion Paper No. 840, IIIS Discussion Paper No. 103
Francis E. Warnock and
Veronica Cacdac Warnock
Date Posted: October 05, 2005707 downloads
A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure FEDS Discussion Paper No. 2005-59, Management Science, Forthcoming
Liuren Wu and
Frank Xiaoling Zhang
Date Posted: March 21, 2005Last Revised: June 15, 2008703 downloads
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
Andrew Ang and
Monika Piazzesi
Date Posted: November 22, 1999696 downloads
Cash-Settled Swaptions: How Wrong are We?
Marc P. A. Henrard
Date Posted: November 07, 2010Last Revised: March 12, 2011693 downloads
Financial Structure and the Interest Rate Channel of ECB Monetary Policy ECB Working Paper No. 40
Benoit Mojon
Date Posted: January 06, 2003693 downloads
The Bond/Old-Bond Spread AFA 2002 Atlanta Meetings
Arvind Krishnamurthy
Date Posted: December 13, 2000683 downloads
Correlating Market Models
Bruce Choy
,
Tim Dun and
Erik Schlogl
Date Posted: May 24, 2003679 downloads
Common Factors in International Bond Returns
Joost Driessen ,
Theo Nijman and
Bertrand Melenberg
Date Posted: April 11, 2000676 downloads
A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives EFA 2007 Ljubljana Meetings Paper
Anders B. Trolle and
Eduardo S. Schwartz
Date Posted: March 06, 2007668 downloads
A Guide to Duration, DV01, and Yield Curve Risk Transformations
Thomas Coleman
Date Posted: January 01, 2011Last Revised: January 23, 2011668 downloads
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models AFA 2007 Chicago Meetings Paper, FRB of Chicago Working Paper No. 2006-15
Torben G. Andersen and
Luca Benzoni
Date Posted: March 15, 2006Last Revised: June 25, 2008666 downloads
A Multicurrency Extension of the Lognormal Interest Rate
Market Models
Erik Schlogl
Date Posted: August 01, 1999654 downloads
The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s International Finance Working Paper No. 653
Steven B. Kamin and
Karsten von Kleist
Date Posted: July 12, 2000650 downloads
Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields FEDS Working Paper No. 2000-33
Brian P. Sack
Date Posted: August 21, 2000648 downloads
Generalizing Merton's Approach of Pricing Risky Debt: Some Closed Form Results University of Waterloo Working Paper TD-UW-98
Deng-Feng Wang
affiliation not provided to SSRN
Date Posted: November 08, 1998643 downloads
The Maturity of Debt Issues and Predictable Variation in Bond Returns
Malcolm P. Baker ,
Robin M. Greenwood
and
Jeffrey Wurgler
Date Posted: August 15, 2001Last Revised: January 13, 2009642 downloads
Financial Contagion and the European Debt Crisis CESifo Working Paper Series No. 3554
Sebastian Missio
and
Sebastian Watzka
Date Posted: September 01, 2011638 downloads
Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
Michiel De Pooter ,
Francesco Ravazzolo and
Dick J. C. van Dijk
Date Posted: March 04, 2007Last Revised: May 04, 2010638 downloads
How the Federal Funds Rate Affects 10 Year Treasury Bond Yields
Kane Snyder
Date Posted: July 15, 2006630 downloads
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