An Analytic Solution for Interest Rate Swap Spreads-Reference-Cited by-同舟云学术

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An Analytic Solution for Interest Rate Swap Spreads

Published:2002 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Grinblatt Mark

Publisher

Elsevier BV

Reference23 articles.

1. Liquidity as a Choice Variable: A lesson from the Japanese Government Bond Market;Jacob Boudoukh;Review of Financial Studies,1993

2. The Price of Convenience and the Valuation of Commodity Contingent Claims;Michael Brennan;Stochastic Models and Option Values,1991

3. The Default Risk of Swaps;Ian Cooper;Journal of Finance,1991

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Determinants of Interest rate swap spreads: A quantile regression approach;Journal of Economics and Finance;2022-04-06

2. Strategy and Tactics in Public Debt Management;SSRN Electronic Journal;2015

3. The value of tradeability;Review of Derivatives Research;2012-03-15

4. The Value of Tradeability;SSRN Electronic Journal;2011

5. On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle;SSRN Electronic Journal;2008

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