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
14,712
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
8,196
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
8,196
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
6,098
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
5,770
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
5,592
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
4,821
7.
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
4,576
8.
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
4,462
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
35
Downloads
4,462
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
4,417
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
4,390
Downloads
4,390
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
4,158
The Irony in the Derivatives Discounting Part II: The Crisis
Wilmott Journal, Vol. 2, pp. 301-316, 2010
Posted: 28 Sep 2011
Downloads
4,158
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
4,087
Extended Libor Market Models with Stochastic Volatility
Journal of Computational Finance, Vol. 9, No. 1, Fall 2005
Posted: 13 Nov 2005
Downloads
4,087
13.
Yield Curve Construction with Tension Splines
Number of pages: 32
Posted: 19 Dec 2005
Working Paper Series
Bank of America
Downloads
4,050
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
3,935
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
3,639
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
3,639
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
3,609
Deviations from Covered Interest Rate Parity
NBER Working Paper No. w23170
Number of pages: 84
Posted: 21 Feb 2017
Last Revised: 24 Apr 2021
Downloads
117
Downloads
3,609
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
3,540
18.
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
3,308
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
54
Downloads
3,308
19.
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
3,305
The Determinants of Stock and Bond Return Comovements
NBER Working Paper No. w15260
Number of pages: 59
Posted: 18 Aug 2009
Last Revised: 14 Mar 2021
Downloads
45
Downloads
3,305
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
3,104
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
3,056
Sovereign Risk Premia
Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73
Posted: 13 Oct 2011
Downloads
168
Downloads
3,056
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
2,962
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
2,936
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
2,838
25.
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
2,735
26.
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
2,725
Downloads
2,725
27.
'Real' Assets
Columbia Business School Research Paper No. 12-60
Number of pages: 64
Posted: 13 Oct 2012
Working Paper Series
BlackRock, Inc
Downloads
2,721
28.
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
2,704
29.
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
2,701
30.
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
2,687
31.
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
2,671
Downloads
2,671
32.
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
2,522
33.
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
2,502
34.
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
2,490
35.
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
2,434
36.
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
2,394
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
2,359
38.
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
2,358
39.
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
2,347
40.
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
2,332
41.
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
2,292
42.
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
2,285
43.
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
2,269
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
2,209
45.
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
2,184
46.
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
2,161
47.
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
2,131
48.
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
2,130
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
2,068
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
1,954
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