Interest-rate and currency swaps
- An Approximate Swaption Formula in Heath–Jarrow–Morton ModelsHideharu FunahashiThe Journal of Derivatives May 2020, 27 (4) 30-50; DOI: https://doi.org/10.3905/jod.2020.1.101
- Revisiting the Comovement of Cross-Currency Basis and the Dollar: A Rolling Correlation ApproachKomla Agudze, Oyakhilome Ibhagui and Bolarinwa ThompsonThe Journal of Investing March 2020, 29 (3) 89-107; DOI: https://doi.org/10.3905/joi.2020.1.123
- Agnosticism in Pan-Asian Structured FinanceJeffrey H. ChenThe Journal of Structured Finance April 2019, 25 (1) 43-46; DOI: https://doi.org/10.3905/jsf.2019.25.1.043
- Currency Target Zones as Mirrored OptionsSandro Claudio Lera, Matthias Leiss and Didier SornetteThe Journal of Derivatives February 2019, 26 (3) 53-67; DOI: https://doi.org/10.3905/jod.2019.26.3.053
- Pricing Bermudan Variance Swaptions Using Multinomial TreesHonglei Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ FlorescuThe Journal of Derivatives February 2019, 26 (3) 22-34; DOI: https://doi.org/10.3905/jod.2019.26.3.022
- A Posteriori Multistage Optimal Trading under Transaction Costs and a Diversification ConstraintMogens Graf Plessen and Alberto BemporadThe Journal of Trading July 2018, 13 (3) 67-83; DOI: https://doi.org/10.3905/jot.2018.1.064
- Ripple Effects, the Long-Run Relationship, and Dynamic Corrections among Interest Rate Swap SpreadsKenneth A. Tah and Geoffrey NgeneThe Journal of Fixed Income March 2018, 27 (4) 40-52; DOI: https://doi.org/10.3905/jfi.2018.1.060
- A Unified Willow Tree Framework for One-Factor Short-Rate ModelsGuangguang Wang and Wei XuThe Journal of Derivatives February 2018, 25 (3) 33-54; DOI: https://doi.org/10.3905/jod.2018.1.064
- It Is Time to Shift Log-NormalRen-Raw Chen, Pei-Lin Hsieh and Jeffrey HuangThe Journal of Derivatives February 2018, 25 (3) 89-103; DOI: https://doi.org/10.3905/jod.2018.25.3.089
- The Predictive Power of the Implied Volatility of Interest Rates: Evidence from USD, EUR, and JPY SwaptionTakahiro HattoriThe Journal of Fixed Income June 2017, 27 (1) 67-76; DOI: https://doi.org/10.3905/jfi.2017.27.1.067
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