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
14,033
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
8,121
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
8,121
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
6,066
4.
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
5,736
5.
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
5,573
6.
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: 09 Nov 2020
Accepted Paper Series
University of Chicago - Finance
Downloads
4,759
7.
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
4,457
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
55
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: 09 Apr 2010
Downloads
34
Downloads
4,457
8.
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
4,422
9.
Volatility Skews and Extensions of the Libor Market Model
Number of pages: 39
Posted: 04 Sep 1998
Working Paper Series
Bank of America and Saxo Bank
Downloads
4,399
10.
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
4,328
Downloads
4,328
11.
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
4,130
The Irony in the Derivatives Discounting Part II: The Crisis
Wilmott Journal, Vol. 2, pp. 301-316, 2010
Posted: 28 Sep 2011
Downloads
4,130
12.
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
4,060
Extended Libor Market Models with Stochastic Volatility
Journal of Computational Finance, Vol. 9, No. 1, Fall 2005
Posted: 13 Nov 2005
Downloads
4,060
13.
Yield Curve Construction with Tension Splines
Number of pages: 32
Posted: 19 Dec 2005
Working Paper Series
Bank of America
Downloads
3,988
14.
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
3,869
15.
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
3,617
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
3,617
16.
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 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
3,561
Deviations from Covered Interest Rate Parity
NBER Working Paper No. w23170
Number of pages: 84
Posted: 21 Feb 2017
Downloads
112
Downloads
3,561
17.
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
3,517
18.
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 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
3,297
The Determinants of Stock and Bond Return Comovements
NBER Working Paper No. w15260
Number of pages: 59
Posted: 18 Aug 2009
Last Revised: 13 Sep 2010
Downloads
42
Downloads
3,297
19.
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
3,288
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
Downloads
53
Downloads
3,288
20.
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
3,087
21.
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
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
3,027
Sovereign Risk Premia
Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73
Posted: 13 Oct 2011
Downloads
166
Downloads
3,027
22.
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
2,925
23.
La Estructura Temporal de los Tipos de Interés (Term Structure of Interest Rates)
Number of pages: 44
Posted: 23 Aug 2013
Last Revised: 11 Jan 2021
Working Paper Series
Universidad Complutense de Madrid
Downloads
2,845
24.
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
2,832
25.
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
2,707
Downloads
2,707
26.
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
2,685
27.
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 Bank for International Settlements (BIS)
Downloads
2,675
28.
'Real' Assets
Columbia Business School Research Paper No. 12-60
Number of pages: 64
Posted: 13 Oct 2012
Working Paper Series
BlackRock, Inc
Downloads
2,662
29.
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
2,650
Downloads
2,650
30.
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
2,609
31.
Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?
Number of pages: 31
Posted: 09 May 2000
Working Paper Series
Bank of America and Saxo Bank
Downloads
2,494
32.
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 Alliance Manchester Business School, University of Manchester
Downloads
2,471
33.
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
2,470
34.
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
2,394
35.
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
2,377
36.
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
2,344
37.
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
2,333
38.
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
2,327
39.
Bond Implied CDS Spread and CDS-Bond Basis
Number of pages: 12
Posted: 09 Sep 2008
Last Revised: 14 Jun 2016
Working Paper Series
affiliation not provided to SSRN
Downloads
2,316
40.
The Fisher Effect under Deflationary Expectations
Number of pages: 23
Posted: 27 Jan 2011
Last Revised: 23 Dec 2013
Working Paper Series
affiliation not provided to SSRN
Downloads
2,281
41.
Modeling Term Structure Dynamics: An Infinite Dimensional Approach
CMAPX Internal Report No. 402
Number of pages: 32
Posted: 25 Feb 1999
Working Paper Series
University of Oxford
Downloads
2,279
42.
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, Université Saint-Louis Brussels, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads
2,190
43.
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
2,158
44.
Cash-Settled Swaptions: How Wrong are We?
Number of pages: 15
Posted: 07 Nov 2010
Last Revised: 12 Mar 2011
Working Paper Series
muRisQ Advisory
Downloads
2,142
45.
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
2,129
46.
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
2,125
47.
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
2,076
48.
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
2,074
49.
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
2,049
50.
Sovereign Risk Premia in the European Government Bond Market
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
1,949
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