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There are 8463 results for: content related to: On Gaussian HJM framework for Eurodollar Futures

  1. A FINANCIAL SECTOR ANALYSIS OF THE EURODOLLAR MARKET

    The Journal of Finance

    Volume 29, Issue 1, March 1974, Pages: 103–117, Jay H. Levin

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1974.tb00027.x

  2. The Sarbanes-Oxley Act and the Choice of Bond Market by Foreign Firms

    Journal of Accounting Research

    Volume 49, Issue 4, September 2011, Pages: 933–968, Yu Gao

    Version of Record online : 23 MAY 2011, DOI: 10.1111/j.1475-679X.2011.00416.x

  3. Money Market Integration

    Journal of Money, Credit and Banking

    Volume 40, Issue 1, February 2008, Pages: 193–213, LEONARDO BARTOLINI, SPENCE HILTON and ALESSANDRO PRATI

    Version of Record online : 30 JAN 2008, DOI: 10.1111/j.1538-4616.2008.00109.x

  4. The Causality Effects of the Federal Reserve's Monetary Policy on U.S. and Eurodollar Interest Rates

    Financial Review

    Volume 32, Issue 4, November 1997, Pages: 821–844, Mbodja Mougoué and John Wagster

    Version of Record online : 9 MAR 2005, DOI: 10.1111/j.1540-6288.1997.tb00912.x

  5. LIQUIDITY AND MATURITY EFFECTS AROUND NEWS RELEASES

    Journal of Financial Research

    Volume 22, Issue 1, Spring 1999, Pages: 47–67, Rohan Christie-David and Mukesh Chaudhry

    Version of Record online : 27 AUG 2014, DOI: 10.1111/j.1475-6803.1999.tb00714.x

  6. Pricing Eurodollar Futures Options with the Heath—Jarrow—Morton Model

    Journal of Futures Markets

    Volume 21, Issue 7, July 2001, Pages: 655–680, Nusret Cakici and Jintao Zhu

    Version of Record online : 17 MAY 2001, DOI: 10.1002/fut.1703

  7. A hedging deficiency in eurodollar futures

    Journal of Futures Markets

    Volume 26, Issue 2, February 2006, Pages: 189–207, Don M. Chance

    Version of Record online : 14 DEC 2005, DOI: 10.1002/fut.20194

  8. Do systematic risk premiums persist in eurodollar futures prices?

    Journal of Futures Markets

    Volume 16, Issue 4, June 1996, Pages: 389–403, Tim Krehbiel and Lee C. Adkins

    Version of Record online : 7 DEC 1998, DOI: 10.1002/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E

  9. Intraday volatility in interest rate and foreign exchange spot and futures markets

    Journal of Futures Markets

    Volume 15, Issue 4, June 1995, Pages: 395–421, Susan J. Craln and Jae Ha Lee

    Version of Record online : 28 AUG 2006, DOI: 10.1002/fut.3990150403

  10. Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements

    Asia-Pacific Journal of Financial Studies

    Volume 42, Issue 5, October 2013, Pages: 689–723, Johan Bjursell, George H. K. Wang and Robert I. Webb

    Version of Record online : 16 OCT 2013, DOI: 10.1111/ajfs.12028

  11. Cross-Hedging: Basis Risk and Choice of the Optimal Hedging Vehicle

    Financial Review

    Volume 26, Issue 2, May 1991, Pages: 179–210, Mark G. Castelino, Jack C. Francis and Avner Wolf

    Version of Record online : 9 MAR 2005, DOI: 10.1111/j.1540-6288.1991.tb00376.x

  12. THE STRUCTURE OF INTERNATIONAL INTEREST RATES: THE U.S. TREASURY BILL RATE AND THE EURODOLLAR DEPOSIT RATE

    The Journal of Finance

    Volume 22, Issue 3, September 1967, Pages: 455–465, Patric H. Hendershott

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1967.tb02980.x

  13. Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison

    Journal of Futures Markets

    Volume 19, Issue 3, May 1999, Pages: 291–306, Roswell E. Mathis III and Gerald O. Bierwag

    Version of Record online : 27 APR 1999, DOI: 10.1002/(SICI)1096-9934(199905)19:3<291::AID-FUT3>3.0.CO;2-K

  14. Policy Measures to Alleviate Foreign Currency Liquidity Shortages under Aggregate Risk with Moral Hazard

    The Japanese Economic Review

    Volume 64, Issue 4, December 2013, Pages: 504–536, Hiroshi Fujiki

    Version of Record online : 6 MAY 2013, DOI: 10.1111/jere.12015

  15. Pricing Eurodollar futures options using the BDT term structure model: The effect of yield curve smoothing

    Journal of Futures Markets

    Volume 20, Issue 3, March 2000, Pages: 293–306, Turin G. Bali and Ahmet K. Karagozoglu

    Version of Record online : 16 FEB 2000, DOI: 10.1002/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4

  16. Futures Markets

    Financial Engineering and Arbitrage in the Financial Markets

    Robert Dubil, Pages: 57–93, 2012

    Published Online : 23 MAY 2012, DOI: 10.1002/9781118467343.ch3

  17. An Analysis of Call Strategy in the Eurodollar Bond Market

    Journal of International Financial Management & Accounting

    Volume 2, Issue 1, March 1990, Pages: 23–46, Finbarr Bradley

    Version of Record online : 3 APR 2007, DOI: 10.1111/j.1467-646X.1990.tb00016.x

  18. Options on federal funds futures and interest rate volatility

    Journal of Futures Markets

    Volume 32, Issue 4, April 2012, Pages: 330–359, Jahangir Sultan

    Version of Record online : 14 APR 2011, DOI: 10.1002/fut.20524

  19. Managing Fixed-Income Positions with Interest Rate Derivatives

    Bond Evaluation, Selection, and Management, Second Edition

    R. Stafford Johnson, Pages: 583–605, 2011

    Published Online : 29 NOV 2011, DOI: 10.1002/9781118267639.ch18

  20. AN ECONOMETRIC STUDY OF EURODOLLAR BORROWING BY NEW YORK BANKS AND THE RATE OF INTEREST ON EURODOLLARS: COMMENT

    The Journal of Finance

    Volume 27, Issue 4, September 1972, Pages: 927–930, Vincent G. Massaeo

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1972.tb01325.x