Search Results
JEL Code: E43

1,168,530 Total downloads

Viewing: 1 - 50 of 4,406 papers

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 23,460
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

Multiple version iconThere are 2 versions of this paper

Downloads 8,992
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 7,408
4.

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 6,885
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 Federal University of Santa Catarina (UFSC) - Department of Economics
Downloads 6,670
6.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Working Paper Series
Two Sigma
Downloads 6,324
7.

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
Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and University of Notre Dame - Mendoza College of Business
Downloads 6,087
8.

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 5,772
9.

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 5,764
10.

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 5,451
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 5,302
13.

Yield Curve Construction with Tension Splines

Number of pages: 32 Posted: 19 Dec 2005
Working Paper Series
Bank of America
Downloads 5,155
14.

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 4,914
15.

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, University of Turin - Department of Economics, Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank

Multiple version iconThere are 4 versions of this paper

Downloads 4,524
16.

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

Multiple version iconThere are 2 versions of this paper

Downloads 4,463
17.

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
Downloads 4,423
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

Multiple version iconThere are 3 versions of this paper

Downloads 4,234
19.

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 4,167
20.

Deviations from Covered Interest Rate Parity

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

Multiple version iconThere are 2 versions of this paper

Downloads 4,145
21.

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 Allocation Strategy Ltd.
Downloads 3,884
22.

The Irony in the Derivatives Discounting

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,797
23.

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 3,632
24.

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 3,626
25.

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,625
26.

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 3,570
27.

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 3,565
28.

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,483
29.

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
The University of Illinois at Urbana-Champaign and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 2 versions of this paper

Downloads 3,434
30.

'Real' Assets

Columbia Business School Research Paper No. 12-60
Number of pages: 64 Posted: 13 Oct 2012
Working Paper Series
BlackRock, Inc
Downloads 3,366
31.

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 3,341
32.

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 3,312
33.

Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements

Number of pages: 43 Posted: 19 Dec 2004
Working Paper Series
Bilkent University - Department of Economics, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and University of California, Irvine - Department of Economics
Downloads 3,276
34.

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 3,170
35.

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 3,128
36.

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,126
37.

Bond Implied CDS Spread and CDS-Bond Basis

Number of pages: 12 Posted: 09 Sep 2008 Last Revised: 14 Jun 2016
Working Paper Series
Independent Researcher
Downloads 3,109
38.

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 3,106
39.

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 3,079
40.

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 2,955
41.

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 2,952
42.

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

Multiple version iconThere are 3 versions of this paper

Downloads 2,941
43.

Does Central Bank Tone Move Asset Prices?

Number of pages: 68 Posted: 14 Jul 2015 Last Revised: 27 Sep 2023
Working Paper Series
Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,896
44.

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 2,881
45.

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 2,872
46.

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 2,853
47.

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 2,847
48.

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 2,840
49.

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 2,824
50.

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 2,786