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Interest rate swaps
8 references·16 citing·50 second hop
Interest rate swaps (1993)Interest rate swapsThe Default Risk of Swaps (1991)The Default Risk of SwapsManaging Financial Risk (1989)Managing Financial RiskAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…An Economic Analysis of Interest Rate Swaps (1986)An Economic Analysis of Inter…Term premiums in bond returns (1984)Term premiums in bond returnsA comparison of futures and forward prices (1983)A comparison of futures and f…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…An Analysis of Variable Rate Loan Contracts (1980)An Analysis of Variable Rate …Benchmark interest rates when the government is risky (2020)Benchmark interest rates when…The Impact of Collateralization on Swap Rates (2007)The Impact of Collateralizati…The components of interest rate swap spreads: Theory and international evidence (2003)The components of interest ra…Transmission of Swap Spreads and Volatilities in the Japanese Swap Market (2002)Transmission of Swap Spreads …The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2002)The Market Price of Credit Ri…An Analytic Solution for Interest Rate Swap Spreads (2002)An Analytic Solution for Inte…Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market (2001)Throwing away a billion dolla…The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2001)The Market Price of Credit Ri…Market Discipline and Subordinated Debt: A Review of Some Salient Issues (2001)Market Discipline and Subordi…Identifying the Factors that Affect Interest‐Rate Swap Spreads: Some Evidence from the United States and the United Kingdom (2001)Identifying the Factors that …Modeling Term Structures of Swap Spreads (2000)Modeling Term Structures of S…Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market (1999)Throwing Away a Billion Dolla…Modelling the French Swap Spread (1999)Modelling the French Swap Spr…Determinants of interest rate swap spreads (1998)Determinants of interest rate…An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps (1998)An Empirical Examination of t…An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps (1997)An empirical examination of b…Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Optimal bond trading with personal taxes (1984)A Theory of the Term Structure of Interest Rates (1985)A nonlinear general equilibrium model of the term structure of interest rates (1989)Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates (1997)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)A Test of the Cox, Ingersoll, and Ross Model of the Term Structure (1993)The term structure of very short-term rates: New evidence for the expectations hypothesis (2000)The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks* (2006)The pricing of commodity contracts (1976)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The relation between forward prices and futures prices (1981)The present value model of rational commodity pricing (1991)Is normal backwardation normal? (1992)The Golden Dilemma (2013)Optimal Hedging Policies (1984)The Determinants of Firms' Hedging Policies (1985)Estimation of foreign exchange exposure: an application to mining companies in Australia (1994)Ambiguity and underwriter decision processes (1995)A resilience model for cold chain logistics of perishable products (2018)An equilibrium characterization of the term structure (1977)Modeling Term Structures of Defaultable Bonds (1999)Identification of Maximal Affine Term Structure Models (2008)Can interest rate volatility be extracted from the cross section of bond yields?☆ (2009)Linear‐Rational Term Structure Models (2016)The Pricing of Options and Corporate Liabilities (1973)Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy (2002)Credit risk modeling with affine processes (2005)Counterparty Credit Risk and the Credit Default Swap Market (2011)Guaranteed Annuity Options (2003)Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets (2003)The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions (2003)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Interest Rate Swaps and Corporate Financing Choices (1992)
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References

  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1980An Analysis of Variable Rate Loan Contracts277 cited
  • 1984Term premiums in bond returns218 cited
  • 1989Managing Financial Risk166 cited
  • 1983A comparison of futures and forward prices164 cited
  • 1991The Default Risk of Swaps161 cited
  • 1986An Economic Analysis of Interest Rate Swaps153 cited

Cited by

  • 2007The Impact of Collateralization on Swap Rates126 cited
  • 2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market104 cited
  • 1997An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps98 cited
  • 2001Market Discipline and Subordinated Debt: A Review of Some Salient Issues92 cited
  • 1998An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps84 cited
  • 2001Identifying the Factors that Affect Interest‐Rate Swap Spreads: Some Evidence from the United States and the United Kingdom76 cited
  • 2001The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

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68 cited
  • 2000Modeling Term Structures of Swap Spreads59 cited
  • 1998Determinants of interest rate swap spreads58 cited
  • 2020Benchmark interest rates when the government is risky55 cited
  • 2002An Analytic Solution for Interest Rate Swap Spreads54 cited
  • 1999Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market47 cited
  • 2003The components of interest rate swap spreads: Theory and international evidence46 cited
  • 1999Modelling the French Swap Spread40 cited
  • 2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads35 cited
  • 2002Transmission of Swap Spreads and Volatilities in the Japanese Swap Market33 cited