The arbitrage-free valuation and hedging of demand deposits and credit card loans-Reference-Cited by-同舟云学术

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

Published:1998-03 Issue:3 Volume:22 Page:249-272
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Jarrow Robert A.,van Deventer Donald R.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference14 articles.

1. The failure of competition in the credit card market;Ausubel;American Economic Review,1991

2. Consumer behavior and the stickiness of credit card interest rates;Calem;American Economic Review,1995

3. Federal Reserve System, 1993. Risk-Based Capital Standards: Interest Rate Risk, Notice of Proposed Rulemaking, Washington, D.C., 14 September

4. Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation;Heath;Econometrica,1992

5. Heitmann, F., Trautmann, S., 1995. Gaussian multi-factor interest rate models: theory, estimation, and implications for option pricing. Johannes Gutenberg-University Mainz, Germany, unpublished manuscript

Cited by 87 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. Evaluation of sight deposits and central bank digital currency;Journal of International Financial Markets, Institutions and Money;2023-10

2. Non‐maturing deposits modelling in a Ornstein‐Uhlenbeck framework;Applied Stochastic Models in Business and Industry;2023-04-30

3. Dynamic banking with non-maturing deposits;Journal of Economic Theory;2023-04

4. News Sentiment Analysis for Liquidity Risk Reduction;2023-02-27

5. Monetary policy effects in times of negative interest rates: What do bank stock prices tell us?;Journal of Financial Intermediation;2023-01