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JEL Code: E43

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Viewing: 441 - 490 of 2,955 papers

441.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Number of pages: 82 Posted: 18 Feb 2013 Last Revised: 03 Apr 2013
Working Paper Series
Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 8,534
442.

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Number of pages: 29 Posted: 29 Jan 2009 Last Revised: 22 Jun 2016
Working Paper Series
Intesa Sanpaolo - Financial and Market Risk Management

Multiple version iconThere are 2 versions of this paper

Downloads 7,420
443.

A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model

Number of pages: 26 Posted: 07 Apr 1999
Working Paper Series
Bank of America Merrill Lynch
Downloads 5,593
444.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Working Paper Series
Bloomberg L.P.
Downloads 5,421
445.

Demography and the Long-Run Predictability of the Stock Market

USC CLEO Research Paper No. C02-21; Cowles Foundation Discussion Paper No. 1380
Number of pages: 33 Posted: 24 Sep 2002
Working Paper Series
Yale University - Cowles Foundation, University of Southern California - Department of Economics and University of California, Davis - Department of Economics
Downloads 5,174
446.

Interest Rate Targeting and the Dynamics of Short-Term Rates

Number of pages: 30 Posted: 01 Feb 1997
Working Paper Series
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank

Multiple version iconThere are 4 versions of this paper

Downloads 4,394
447.

Does the Fed Control Interest Rates?

The Review of Asset Pricing Studies, Forthcoming, Chicago Booth Research Paper No. 12-23, Fama-Miller Working Paper
Number of pages: 31 Posted: 05 Aug 2012 Last Revised: 02 Jul 2013
Accepted Paper Series
University of Chicago - Finance
Downloads 4,218
448.

Volatility Skews and Extensions of the Libor Market Model

Number of pages: 39 Posted: 04 Sep 1998
Working Paper Series
Bank of America Merrill Lynch and Danske Bank - Danske Markets
Downloads 4,205
449.

Pe Ratios, Peg Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital

Number of pages: 39 Posted: 09 Sep 2003
Working Paper Series
University of Notre Dame - Department of Accountancy

Multiple version iconThere are 2 versions of this paper

Downloads 4,044
450.

Extended Libor Market Models with Stochastic Volatility

Number of pages: 43 Posted: 31 Dec 2001
Working Paper Series
Bank of America Merrill Lynch and Gen Re Securities

Multiple version iconThere are 2 versions of this paper

Downloads 3,803
451.

The Irony in the Derivatives Discounting Part II: The Crisis

Number of pages: 12 Posted: 14 Jul 2009 Last Revised: 19 Dec 2009
Working Paper Series
OpenGamma

Multiple version iconThere are 2 versions of this paper

Downloads 3,769
452.

Yield Curve Construction with Tension Splines

Number of pages: 32 Posted: 19 Dec 2005
Working Paper Series
Bank of America Merrill Lynch
Downloads 3,557
453.

Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option

Number of pages: 15 Posted: 08 Feb 2006
Working Paper Series
OpenGamma

Multiple version iconThere are 3 versions of this paper

Downloads 3,448
454.

The Irony in the Derivatives Discounting

Number of pages: 10 Posted: 14 Mar 2007
Working Paper Series
OpenGamma

Multiple version iconThere are 2 versions of this paper

Downloads 3,256
455.

The Determinants of Stock and Bond Return Comovements

The Review of Financial Studies, Vol. 23, Issue 6, pp. 2374-2428, 2010, National Bank of Belgium Working Paper No. 119, AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 67 Posted: 05 Oct 2010
Accepted Paper Series
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Financial Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,174
456.

A Guide to Duration, DV01, and Yield Curve Risk Transformations

Number of pages: 29 Posted: 01 Jan 2011 Last Revised: 23 Jan 2011
Working Paper Series
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 3,135
457.

Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy

Number of pages: 28 Posted: 05 Jan 2013
Working Paper Series
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 3,047
458.

Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution

Columbia Business Law Review, Vol. 2011, No. 1, p. 118, 2011, Seton Hall Public Law Research Paper No. 1632084
Number of pages: 104 Posted: 17 Jul 2010 Last Revised: 25 Apr 2011
Accepted Paper Series
USC Gould School of Law and Davis Polk & Wardwell LLP - New York Office
Downloads 2,712
459.

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Chicago Booth Research Paper No. 13-77
Number of pages: 56 Posted: 08 Sep 2013 Last Revised: 19 May 2015
Working Paper Series
University of Chicago - Booth School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 2 versions of this paper

Downloads 2,599
460.

On the Profit and Loss Distribution of Dynamic Hedging Strategies

Discussion Paper Series No. 9899-03
Number of pages: 24 Posted: 02 Feb 1999
Working Paper Series
Quant Isle Ltd. and JP Morgan Securities Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 2,592
461.

Sovereign Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 14 Sep 2011
Working Paper Series
LUISS University - Department of Economics and Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,527
462.

Deviations from Covered Interest Rate Parity

Number of pages: 84 Posted: 25 Apr 2016 Last Revised: 06 May 2017
Working Paper Series
Federal Reserve Board, Federal Reserve Bank of New York and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,509
463.

Yield Curve Predictors of Foreign Exchange Returns

AFA 2011 Denver Meetings Paper
Number of pages: 47 Posted: 25 Jan 2010 Last Revised: 15 Jun 2011
Working Paper Series
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 2,490
464.

Liquidity and Credit Default Swap Spreads

AFA 2007 Chicago Meetings Paper, EFA 2008 Athens Meetings Paper
Number of pages: 44 Posted: 03 Mar 2008 Last Revised: 22 Jan 2009
Working Paper Series
The University of Hong Kong - Faculty of Business and Economics and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Multiple version iconThere are 2 versions of this paper

Downloads 2,468
465.

'Real' Assets

Columbia Business School Research Paper No. 12-60
Number of pages: 64 Posted: 13 Oct 2012
Working Paper Series
BlackRock, Inc
Downloads 2,352
466.

What Explains the Surge in Euro Area Sovereign Spreads During the Financial Crisis of 2007-09?

ECB Working Paper No. 1131
Number of pages: 49 Posted: 27 Dec 2009
Working Paper Series
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2,330
467.

A New Approach to the Valuation of Interest Rate Derivatives: Arrow-Debreu Prices Implicit in the Term Structure of Interest Rates

Number of pages: 31 Posted: 12 Oct 1998
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 2,325
468.

Short Rate Models: Hull-White or Black-Karasinski? Implementation Note and Model Comparison for ALM

Number of pages: 63 Posted: 20 Oct 2008
Working Paper Series
University of Manchester - Manchester Business School, Manchester University - Business School and University of Manchester - Manchester Business School
Downloads 2,303
469.

Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?

Number of pages: 31 Posted: 09 May 2000
Working Paper Series
Bank of America Merrill Lynch and Danske Bank - Danske Markets
Downloads 2,292
470.

Global Imbalances and the Financial Crisis: Link or No Link?

BIS Working Paper No. 346
Number of pages: 43 Posted: 08 Jun 2011
Working Paper Series
Bank for International Settlements (BIS) - Research and Policy Analysis and Puey Ungphakorn Institute for Economic Research, Bank of Thailand
Downloads 2,286
471.

Speculative Capital and Currency Carry Trades

Number of pages: 51 Posted: 18 Apr 2008 Last Revised: 27 Mar 2011
Working Paper Series
Aalto University and Aalto University School of Business
Downloads 2,274
472.

Using Principal Component Analysis to Explain Term Structure Movements: Performance and Stability

Number of pages: 32 Posted: 14 May 2007
Working Paper Series
University of Murcia - Faculty of Business and Economics
Downloads 2,249
473.

Modeling Term Structure Dynamics: An Infinite Dimensional Approach

CMAPX Internal Report No. 402
Number of pages: 32 Posted: 25 Feb 1999
Working Paper Series
Imperial College London
Downloads 2,219
474.

Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model

Number of pages: 6 Posted: 03 Apr 2005
Working Paper Series
OpenGamma
Downloads 2,185
475.

Does the Peg Ratio Rank Stocks According to the Market's Expected Rate of Return on Equity Capital?

Ohio State University Working Paper
Number of pages: 31 Posted: 04 Mar 2002
Working Paper Series
University of Notre Dame - Department of Accountancy
Downloads 2,180
476.

Collectively Fluctuating Assets in the Presence of Arbitrage Opportunities and Option Pricing

Number of pages: 10 Posted: 02 Feb 1999
Working Paper Series
NAFT and Quant Isle Ltd.
Downloads 2,116
477.

The Fisher Effect under Deflationary Expectations

Number of pages: 23 Posted: 27 Jan 2011 Last Revised: 23 Dec 2013
Working Paper Series
Federal Trade Commission
Downloads 2,100
478.

Expected Returns in Treasury Bonds

Number of pages: 60 Posted: 15 Nov 2010 Last Revised: 02 Apr 2015
Working Paper Series
Duke University, Fuqua School of Business and affiliation not provided to SSRN
Downloads 1,928
479.

Cash-Settled Swaptions: How Wrong are We?

Number of pages: 15 Posted: 07 Nov 2010 Last Revised: 12 Mar 2011
Working Paper Series
OpenGamma
Downloads 1,911
480.

A New Perspective on Gaussian Dynamic Term Structure Models

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Number of pages: 55 Posted: 23 Mar 2009 Last Revised: 13 Oct 2010
Working Paper Series
University of Southern California, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,868
481.

Bond Implied CDS Spread and CDS-Bond Basis

Number of pages: 12 Posted: 09 Sep 2008 Last Revised: 14 Jun 2016
Working Paper Series
Wells Fargo Bank
Downloads 1,848
482.

Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management

Number of pages: 20 Posted: 12 May 2010
Working Paper Series
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 1,824
483.

Sovereign Risk Premia in the European Government Bond Market

ECB Working Paper No. 369
Number of pages: 39 Posted: 02 Dec 2004
Working Paper Series
German Institute for Economic Research (DIW Berlin), University of Bonn - Institute of Economic Policy and European Central Bank (ECB)
Downloads 1,809
484.

Log-Normal Interest Rate Models: Stability and Methodology

Number of pages: 11 Posted: 06 Mar 1997
Working Paper Series
University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 1,784
485.

La Estructura Temporal de los Tipos de Interés (Term Structure of Interest Rates)

Number of pages: 42 Posted: 23 Aug 2013 Last Revised: 15 Dec 2017
Working Paper Series
Universidad Complutense de Madrid
Downloads 1,781
486.

Financial Structure and the Interest Rate Channel of ECB Monetary Policy

ECB Working Paper No. 40
Number of pages: 46 Posted: 06 Jan 2003
Working Paper Series
European Central Bank (ECB)
Downloads 1,741
487.

Arbitrage Relaxation of Instruments with Temporal Constraints

Number of pages: 21 Posted: 01 Jun 1998
Working Paper Series
NAFT, NAFT and Quant Isle Ltd.
Downloads 1,699
488.

Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads

Number of pages: 50 Posted: 16 Aug 2005
Working Paper Series
Fordham University, Gabelli School of Business, Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,691
489.

Decomposing the Yield Curve

AFA 2010 Atlanta Meetings Paper
Number of pages: 54 Posted: 26 Jan 2009 Last Revised: 19 Mar 2009
Working Paper Series
Hoover Institution and University of Chicago - Booth School of Business
Downloads 1,666
490.

Modeling the Short Rate: The Real and Risk-Neutral Worlds

Rotman School of Management Working Paper No. 2403067
Number of pages: 19 Posted: 02 Mar 2014 Last Revised: 03 Jul 2014
Working Paper Series
University of Toronto - Rotman School of Management, CompatibL and University of Toronto - Rotman School of Management
Downloads 1,657