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Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? · Study

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PreprintAre Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

Massoud Heidari2001

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Preprintgreen2001

Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

Massoud Heidari · Liuren Wu

47 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1987Cointegration and Tests of Present Value Models 1997The Market Model of Interest Rate Dynamics 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets 1997LIBOR and swap market models and measures

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2012The Swaption Cube 2002Design and Estimation of Quadratic Term Structure Models 2009Predictability of Interest Rates and Interest-Rate Portfolios 2009Stochastic Volatility

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2002Design and Estimation of Quadratic Term Structure Modelspreprint · 6 shared references 2004On the Geometry of Interest Rate Modelschapter · 6 shared references 2008A General Stochastic Volatility Model for the Pricing of Interest Rate Derivativesarticle · 5 shared references 2003Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?article · 5 shared references 2007Design and Estimation of Multi-Currency Quadratic Models*article · 5 shared references 2003The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptionsarticle · 5 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations47

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.283310

openalex_workW2132306325

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