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Interest-rate and currency swaps

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  • A Derivatives Pricing Model with Non-Cash Collateralization
    Kazuhiro Takino
    The Journal of Derivatives December 2020, jod.2020.1.126; DOI: https://doi.org/10.3905/jod.2020.1.126
  • The Tracking Efficiency of Physical and Synthetic Equity Index ETFs
    Daniel Broby and Oliver Spence
    The Journal of Index Investing November 2020, 11 (3) 34-47; DOI: https://doi.org/10.3905/jii.2020.1.097
  • An Approximate Swaption Formula in Heath–Jarrow–Morton Models
    Hideharu Funahashi
    The 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 Approach
    Komla Agudze, Oyakhilome Ibhagui and Bolarinwa Thompson
    The Journal of Investing March 2020, 29 (3) 89-107; DOI: https://doi.org/10.3905/joi.2020.1.123
  • Agnosticism in Pan-Asian Structured Finance
    Jeffrey H. Chen
    The 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 Options
    Sandro Claudio Lera, Matthias Leiss and Didier Sornette
    The 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 Trees
    Honglei Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ Florescu
    The 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 Constraint
    Mogens Graf Plessen and Alberto Bemporad
    The 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 Spreads
    Kenneth A. Tah and Geoffrey Ngene
    The 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 Models
    Guangguang Wang and Wei Xu
    The Journal of Derivatives February 2018, 25 (3) 33-54; DOI: https://doi.org/10.3905/jod.2018.1.064

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