IDEAS home Printed from https://ideas.repec.org/a/spr/decfin/v13y1990i1p3-21.html
   My bibliography  Save this article

Sulla valutazione di un contratto di interest rate swap

Author

Listed:
  • E. Salinelli

Abstract

No abstract is available for this item.

Suggested Citation

  • E. Salinelli, 1990. "Sulla valutazione di un contratto di interest rate swap," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 13(1), pages 3-21, March.
  • Handle: RePEc:spr:decfin:v:13:y:1990:i:1:p:3-21
    DOI: 10.1007/BF02085365
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/BF02085365
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1007/BF02085365?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Bicksler, James & Chen, Andrew H, 1986. "An Economic Analysis of Interest Rate Swaps," Journal of Finance, American Finance Association, vol. 41(3), pages 645-655, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
    2. Gómez-Puig, Marta, 2008. "Monetary integration and the cost of borrowing," Journal of International Money and Finance, Elsevier, vol. 27(3), pages 455-479, April.
    3. Roman Goldbach & Christian Fahrholz, 2011. "The euro area's common default risk: Evidence on the Commission's impact on European fiscal affairs," European Union Politics, , vol. 12(4), pages 507-528, December.
    4. Lang, Larry H. P. & Litzenberger, Robert H. & Luchuan Liu, Andy, 1998. "Determinants of interest rate swap spreads," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1507-1532, December.
    5. Alex Frino & Michael Garcia, 2018. "Price discovery in short‐term interest rate markets: Futures versus swaps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1179-1188, October.
    6. Anatoli Kuprianov, 1994. "The role of interest rate swaps in corporate finance," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 49-68.
    7. In, Francis & Brown, Rob & Fang, Victor, 2003. "Modeling volatility and changes in the swap spread," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 545-561.
    8. Ben S. Bernanke & John Y. Campbell & Toni M. Whited, 1990. "U.S. Corporate Leverage: Developments in 1987 and 1988," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(1), pages 255-286.
    9. Merkert, Rico & Swidan, Hassan, 2019. "Flying with(out) a safety net: Financial hedging in the airline industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 127(C), pages 206-219.
    10. Li, Haitao & Mao, Connie X., 2003. "Corporate use of interest rate swaps: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1511-1538, August.
    11. Jarosław Kaczmarek, 2022. "The Balance of Outlays and Effects of Restructuring Hard Coal Mining Companies in Terms of Energy Policy of Poland PEP 2040," Energies, MDPI, vol. 15(5), pages 1-30, March.
    12. Seth Armitage, 1996. "The cost of bank loans in relation to bonds swapped into a floating rate," European Financial Management, European Financial Management Association, vol. 2(3), pages 311-330, November.
    13. Hentschel, Ludger & Smith, Clifford Jr., 1997. "Derivatives regulation: Implications for central banks," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 305-346, October.
    14. Breeden, Douglas T. & Gilkeson, James H., 1997. "A path-dependent approach to security valuation with application to interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 541-562, April.
    15. Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
    16. Harper, Joel T. & Wingender, John R., 2000. "An empirical test of agency cost reduction using interest rate swaps," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1419-1431, September.
    17. Balsam, Steven & Kim, Sungsoo, 2001. "Effects of interest rate swaps," Journal of Economics and Business, Elsevier, vol. 53(6), pages 547-562.
    18. Yu, W. T. & Pang, W. K. & Li, L. K., 2004. "Borrowing cost reduction by interest rate swaps--an option pricing analysis," European Journal of Operational Research, Elsevier, vol. 154(3), pages 764-778, May.
    19. Jian Yang & David J. Leatham & Spencer A. Case, 2000. "The wealth effect of swap usage in the food processing industry," Agribusiness, John Wiley & Sons, Ltd., vol. 16(3), pages 367-379.
    20. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2006. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2337-2360, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:decfin:v:13:y:1990:i:1:p:3-21. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.