1.
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
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
Downloads
21,602
2.
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
There are 2 versions of this paper
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
Downloads
8,739
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Risk, August 2010
Posted: 15 Sep 2011
Last Revised: 10 Sep 2018
Downloads
8,739
3.
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
Downloads
6,967
4.
Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Number of pages: 75
Posted: 27 Dec 2007
Working Paper Series
Two Sigma
Downloads
6,164
5.
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 de Santa Catarina & CNPq and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads
5,982
6.
Demography and the Long-Run Predictability of the Stock Market
Number of pages: 33
Posted: 24 Sep 2002
Working Paper Series
Yale University, University of Southern California - Department of Economics and University of California, Davis - Department of Economics
Downloads
5,722
7.
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: 6
Posted: 05 Aug 2012
Last Revised: 27 Oct 2022
Accepted Paper Series
University of Chicago - Finance
Downloads
5,569
8.
How to Price Swaps in Your Head - An Interest Rate Swap & Asset Swap Primer
Number of pages: 96
Posted: 31 Jul 2016
Last Revised: 10 Apr 2017
Working Paper Series
University of Oxford - Said Business School
Downloads
5,502
9.
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
There are 2 versions of this paper
Pe Ratios, Peg Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital
Number of pages: 39
Posted: 09 Sep 2003
Downloads
4,874
Downloads
4,874
10.
Bond Risk Premia with Machine Learning
WBS Finance Group Research Paper No. 252
Number of pages: 86
Posted: 26 Aug 2018
Last Revised: 08 Apr 2020
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads
4,781
11.
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 - Harris School of Public Policy
Downloads
4,767
12.
Yield Curve Construction with Tension Splines
Number of pages: 32
Posted: 19 Dec 2005
Working Paper Series
Bank of America
Downloads
4,767
13.
Volatility Skews and Extensions of the Libor Market Model
Number of pages: 39
Posted: 04 Sep 1998
Working Paper Series
Bank of America and Verition Group LLC
Downloads
4,761
14.
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
There are 4 versions of this paper
Interest Rate Targeting and the Dynamics of Short-Term Rates
Number of pages: 30
Posted: 01 Feb 1997
Downloads
4,512
Interest Rate Targeting and the Dynamics of Short-Term Rates
NYU Working Paper No. FIN-94-011
Number of pages: 18
Posted: 11 Nov 2008
Downloads
70
Interest Rate Targeting and the Dynamics of Short-Term Rates
NBER Working Paper No. w5944
Number of pages: 36
Posted: 25 May 2006
Last Revised: 30 Sep 2022
Downloads
49
Downloads
4,512
15.
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
muRisQ Advisory
There are 2 versions of this paper
The Irony in the Derivatives Discounting Part II: The Crisis
Number of pages: 12
Posted: 14 Jul 2009
Last Revised: 19 Dec 2009
Downloads
4,358
The Irony in the Derivatives Discounting Part II: The Crisis
Wilmott Journal, Vol. 2, pp. 301-316, 2010
Posted: 28 Sep 2011
Downloads
4,358
16.
Extended Libor Market Models with Stochastic Volatility
Number of pages: 43
Posted: 31 Dec 2001
Working Paper Series
Bank of America and Gen Re Securities
There are 2 versions of this paper
Extended Libor Market Models with Stochastic Volatility
Number of pages: 43
Posted: 31 Dec 2001
Downloads
4,330
Extended Libor Market Models with Stochastic Volatility
Journal of Computational Finance, Vol. 9, No. 1, Fall 2005
Posted: 13 Nov 2005
Downloads
4,330
17.
Estimating the Yield Curve Using the Nelson-Siegel Model: A Ridge Regression Approach
International Review of Economics & Finance, Forthcoming
Number of pages: 44
Posted: 08 May 2012
Last Revised: 16 Feb 2015
Accepted Paper Series
University of Antwerp Department of Accounting & Finance, University of Antwerp, Faculty of Applied Economics - City CampusUniversité Saint-Louis Brussels, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads
4,170
18.
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
muRisQ Advisory
There are 3 versions of this paper
Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option
Number of pages: 15
Posted: 08 Feb 2006
Downloads
4,061
Bond Futures and Their Options: More than the Cheapest to Deliver; Margining and Quality Option
The Journal of Fixed Income, Vol. 16, No. 2, pp. 62-75, September 2006
Posted: 01 Jul 2009
Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option
The Journal of Fixed Income, Vol. 16, No. 2, pp. 62-75, September 2006
Posted: 02 May 2012
Downloads
4,061
19.
Deviations from Covered Interest Rate Parity
Number of pages: 84
Posted: 25 Apr 2016
Last Revised: 06 May 2017
Working Paper Series
University of Chicago Booth School of Business, Federal Reserve Bank of New York and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Deviations from Covered Interest Rate Parity
Number of pages: 84
Posted: 25 Apr 2016
Last Revised: 06 May 2017
Downloads
3,984
Deviations from Covered Interest Rate Parity
NBER Working Paper No. w23170
Number of pages: 84
Posted: 21 Feb 2017
Last Revised: 24 Apr 2022
Downloads
171
Downloads
3,984
20.
La Estructura Temporal de los Tipos de Interés (Term Structure of Interest Rates)
Number of pages: 43
Posted: 23 Aug 2013
Last Revised: 09 Jan 2023
Working Paper Series
Universidad Complutense de Madrid
Downloads
3,740
21.
The Irony in the Derivatives Discounting
Number of pages: 10
Posted: 14 Mar 2007
Working Paper Series
muRisQ Advisory
There are 2 versions of this paper
Downloads
3,727
22.
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 National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Sovereign Risk Premia
AFA 2010 Atlanta Meetings Paper
Number of pages: 52
Posted: 17 Feb 2009
Last Revised: 14 Sep 2011
Downloads
3,459
Sovereign Risk Premia
Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73
Posted: 13 Oct 2011
Downloads
192
Downloads
3,459
23.
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 University - Columbia Business School, Finance and Ghent University - Department of Economics
There are 2 versions of this paper
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
Downloads
3,420
The Determinants of Stock and Bond Return Comovements
NBER Working Paper No. w15260
Number of pages: 59
Posted: 18 Aug 2009
Last Revised: 13 Mar 2023
Downloads
61
Downloads
3,420
24.
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 Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
There are 2 versions of this paper
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
Downloads
3,401
Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
NBER Working Paper No. w20117
Number of pages: 56
Posted: 14 May 2014
Last Revised: 21 Jun 2023
Downloads
82
Downloads
3,401
25.
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 Norges Bank Investment Management
Downloads
3,375
26.
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
3,319
27.
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 Stanford University
Downloads
3,295
28.
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
University of Southern California Gould School of Law and Davis Polk & Wardwell LLP - New York Office
Downloads
3,227
29.
'Real' Assets
Columbia Business School Research Paper No. 12-60
Number of pages: 64
Posted: 13 Oct 2012
Working Paper Series
BlackRock, Inc
Downloads
3,215
30.
The Yield Curve and Predicting Recessions
FEDs Working Paper No. 2006-7
Number of pages: 21
Posted: 03 May 2006
Working Paper Series
Johns Hopkins University - Department of Economics
Downloads
3,089
31.
Stock-Bond Correlations, Macroeconomic Regimes and Monetary Policy
Number of pages: 78
Posted: 27 Nov 2017
Working Paper Series
Tilburg University - Department of Finance and Degroof Petercam Asset Management
Downloads
2,997
32.
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
2,965
33.
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.
There are 2 versions of this paper
On the Profit and Loss Distribution of Dynamic Hedging Strategies
Discussion Paper Series No. 9899-03
Number of pages: 24
Posted: 02 Feb 1999
Downloads
2,964
Downloads
2,964
34.
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
2,918
35.
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
2,906
36.
Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?
Number of pages: 31
Posted: 09 May 2000
Working Paper Series
Bank of America and Verition Group LLC
Downloads
2,879
37.
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
2,778
38.
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)
There are 2 versions of this paper
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
Downloads
2,767
Downloads
2,767
39.
Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model
Number of pages: 6
Posted: 03 Apr 2005
Working Paper Series
muRisQ Advisory
Downloads
2,765
40.
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
The University of Manchester - Manchester Business School, Manchester University - Business School and Alliance Manchester Business School, University of Manchester
Downloads
2,714
41.
Calibrating the Nelson-Siegel-Svensson Model
Number of pages: 22
Posted: 16 Sep 2010
Last Revised: 22 Apr 2011
Working Paper Series
University of Geneva - Research Center for Statistics, NORD/LB and Independent
Downloads
2,655
42.
The Yield Curve as a Leading Indicator: Some Practical Issues
Current Issues in Economics and Finance, Vol. 12, No. 5, July/August 2006
Number of pages: 8
Posted: 20 Sep 2006
Accepted Paper Series
Rensselaer Polytechnic Institute and Federal Reserve Bank of New York
Downloads
2,628
43.
What Moves the Bond Market?
Economic Policy Review, Vol. 3, No. 4, December 1997
Number of pages: 20
Posted: 24 Sep 2007
Accepted Paper Series
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads
2,613
44.
Financial Structure and the Interest Rate Channel of ECB Monetary Policy
Number of pages: 46
Posted: 06 Jan 2003
Working Paper Series
Banque de France
Downloads
2,610
45.
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
2,589
46.
The Rise of Zombie Firms: Causes and Consequences
BIS Quarterly Review Spetember 2018
Number of pages: 12
Posted: 30 Nov 2018
Accepted Paper Series
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads
2,555
47.
Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis
Number of pages: 29
Posted: 28 May 2020
Last Revised: 01 Jun 2020
Working Paper Series
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
There are 2 versions of this paper
Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis
Number of pages: 29
Posted: 28 May 2020
Last Revised: 01 Jun 2020
Downloads
2,548
Aggregate Demand and Aggregate Supply Effects of Covid-19: A Real-Time Analysis
FEDS Working Paper No. 2020-49
Number of pages: 30
Posted: 23 Jun 2020
Downloads
197
Downloads
2,548
48.
How the Federal Funds Rate Affects 10 Year Treasury Bond Yields
Number of pages: 12
Posted: 15 Jul 2006
Working Paper Series
PricewaterhouseCoopers LLP
Downloads
2,526
49.
Risk Free Interest Rates
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74
Posted: 22 Sep 2018
Last Revised: 04 Jan 2021
Working Paper Series
University of Pennsylvania - The Wharton School, University of Pennsylvania - Finance Department and London Business School
There are 3 versions of this paper
Risk Free Interest Rates
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74
Posted: 22 Sep 2018
Last Revised: 04 Jan 2021
Downloads
2,508
Risk-Free Interest Rates
NBER Working Paper No. w26138
Number of pages: 55
Posted: 12 Aug 2019
Last Revised: 03 Jun 2023
Downloads
106
Downloads
1
Downloads
2,508
50.
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
2,497
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