An Empirical Analysis of the Swaption Cube
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References listed on IDEAS
- Beber, Alessandro & Brandt, Michael W., 2006.
"The effect of macroeconomic news on beliefs and preferences: Evidence from the options market,"
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- Alessandro BEBER & Michael W. BRANDT, 2004. "The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," FAME Research Paper Series rp105, International Center for Financial Asset Management and Engineering.
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More about this item
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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