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An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps

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Author Info
Minton, Bernadette A.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 44 (1997)
Issue (Month): 2 (May)
Pages: 251-277
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Handle: RePEc:eee:jfinec:v:44:y:1997:i:2:p:251-277

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  1. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Documents de Travail 65, Banque de France. [Downloadable!]
  2. Andrew Clare & Ilias Lekkos, . "An analysis of the relationship between international bond markets," Bank of England working papers 123, Bank of England. [Downloadable!]
  3. Anurag Gupta & Marti G. Subrahmanyam, 1999. "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-001, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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  4. Bischof, Jannis & Ebert, Michael, 2007. "Inconsistent measurement and disclosure of non-contingent financial derivatives under IFRS: A behavioral perspective," Sonderforschungsbereich 504 Publications 07-02, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
  5. Bischof, Jannis & Ebert, Michael, 2007. "IAS 39 and Biases in the Risk Perception of Financial Instruments," Sonderforschungsbereich 504 Publications 07-73, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
  6. Robert R. Bliss, 2001. "Market discipline and subordinated debt: a review of some salient issues," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 24-45. [Downloadable!]
  7. Antulio N. Bomfim, 2003. "Counterparty credit risk in interest rate swaps during times of market stress," Finance and Economics Discussion Series 2003-09, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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