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Forward Rate Agreements and Interest Rate Swaps
2000Swaps in all but name have been around for many years. Originally conceived to help stabilise currencies and facilitate financial activities between governments as long ago as the 1920s, they have, in recent years, developed beyond recognition from their forerunners and now play a major global role in corporate sector financing.
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Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk, and OIS Discounting
Journal of Fixed Income, 2016A. Gargouri +2 more
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How to Price Swaps in Your Head - An Interest Rate Swap & Asset Swap Primer
, 2017N. Burgess
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Overnight Indexed Swap-Implied Interest Rate Expectations
, 2020Simon P. Lloyd
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Spillovers of international interest rate swap markets and stock market volatility
, 2016Hsiu‐Chuan Lee +2 more
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An Econometric Model of the Term Structure of Interest-Rate Swap Yields
, 1997D. Duffie, K. Singleton
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Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks
, 2017Shih-Kuei Lin +3 more
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Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation
, 2015Donald J. Smith
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