Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
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Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model
How to Price Swaps in Your Head - An Interest Rate Swap & Asset Swap Primer
Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy
Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Bond Risk Premia with Machine Learning
Does the Fed Control Interest Rates?
Demography and the Long-Run Predictability of the Stock Market
Estimating the Yield Curve Using the Nelson-Siegel Model: A Ridge Regression Approach
A Guide to Duration, DV01, and Yield Curve Risk Transformations
Pe Ratios, Peg Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital
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Pe Ratios, Peg Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital
Yield Curve Construction with Tension Splines
Volatility Skews and Extensions of the Libor Market Model
Interest Rate Targeting and the Dynamics of Short-Term Rates
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Interest Rate Targeting and the Dynamics of Short-Term Rates
Interest Rate Targeting and the Dynamics of Short-Term Rates
Interest Rate Targeting and the Dynamics of Short-Term Rates
The Irony in the Derivatives Discounting Part II: The Crisis
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The Irony in the Derivatives Discounting Part II: The Crisis
The Irony in the Derivatives Discounting Part II: The Crisis
Extended Libor Market Models with Stochastic Volatility
Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option
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Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option
Bond Futures and Their Options: More than the Cheapest to Deliver; Margining and Quality Option
Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option
La Estructura Temporal de los Tipos de Interés (Term Structure of Interest Rates)
Deviations from Covered Interest Rate Parity
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Deviations from Covered Interest Rate Parity
Deviations from Covered Interest Rate Parity
Expected Returns in Treasury Bonds
The Irony in the Derivatives Discounting
There are 2 versions of this paper
Stock-Bond Correlations, Macroeconomic Regimes and Monetary Policy
Decomposing the Yield Curve
Sovereign Risk Premia
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Sovereign Risk Premia
Sovereign Risk Premia
The Yield Curve and Predicting Recessions
Yield Curve Predictors of Foreign Exchange Returns
The Determinants of Stock and Bond Return Comovements
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The Determinants of Stock and Bond Return Comovements
The Determinants of Stock and Bond Return Comovements
Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
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Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
'Real' Assets
Calibrating the Nelson-Siegel-Svensson Model
Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution
Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements
The Rise of Zombie Firms: Causes and Consequences
Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?
Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis
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Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis
Aggregate Demand and Aggregate Supply Effects of Covid-19: A Real-Time Analysis
Bond Implied CDS Spread and CDS-Bond Basis
On the Profit and Loss Distribution of Dynamic Hedging Strategies
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On the Profit and Loss Distribution of Dynamic Hedging Strategies
Speculative Capital and Currency Carry Trades
What Explains the Surge in Euro Area Sovereign Spreads During the Financial Crisis of 2007-09?
What Moves the Bond Market?
Risk Free Interest Rates
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Risk Free Interest Rates
Risk-Free Interest Rates
Does Central Bank Tone Move Asset Prices?
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Does Central Bank Tone Move Asset Prices?
Does Central Bank Tone Move Asset Prices?
Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model
How the Federal Funds Rate Affects 10 Year Treasury Bond Yields
The Yield Curve as a Leading Indicator: Some Practical Issues
Global Imbalances and the Financial Crisis: Link or No Link?
Financial Structure and the Interest Rate Channel of ECB Monetary Policy
Liquidity and Credit Default Swap Spreads
There are 2 versions of this paper