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The arbitrage-free valuation and hedging of demand deposits and credit card loans

  • Jarrow, Robert A.
  • van Deventer, Donald R.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-3T857YH-M/2/b9ea3a13c7000b9c2e2ebb5dddc1ec04
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 22 (1998)
Issue (Month): 3 (March)
Pages: 249-272

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Handle: RePEc:eee:jbfina:v:22:y:1998:i:3:p:249-272
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. Paul S. Calem & Loretta J. Mester, . "Consumer Behavior and the Stickiness of CreditCard Interest Rates," Rodney L. White Center for Financial Research Working Papers 3-94, Wharton School Rodney L. White Center for Financial Research.
  2. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
  3. Hutchison, David E. & Pennacchi, George G., 1996. "Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(03), pages 399-417, September.
  4. Ausubel, Lawrence M, 1991. "The Failure of Competition in the Credit Card Market," American Economic Review, American Economic Association, vol. 81(1), pages 50-81, March.
  5. Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
  6. James O'Brien & Athanasios Orphanides & David Small, 1994. "Estimating the interest rate sensitivity of liquid retail deposit values," Proceedings 42, Federal Reserve Bank of Chicago.
  7. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  8. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
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