An empirical examination of the convexity bias in the pricing of interest rate swaps
Authors:
- Anurag GuptaAGAnurag Gupta
- Marti G. SubrahmanyamMSMarti G. Subrahmanyam
- 1 February 2000
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 55 (2) , 239-279
Abstract
No abstract availableKeywords
All Related Versions
This publication has 25 references indexed in Scilit:
- Alternative Swap ContractsThe Journal of Derivatives, 1996
- Interest rate swapsJournal of Financial Economics, 1993
- Futures Prices on Yields, Forward Prices, and Implied Forward Prices from Term StructureJournal of Financial and Quantitative Analysis, 1991
- Market Trading Structures and Asset Pricing: Evidence from the Treasury-Bill MarketsThe Review of Financial Studies, 1988
- Differences between futures and forward prices: A further investigation of the marking‐to‐market effectsJournal of Futures Markets, 1985
- Intra-Day Tests of the Efficiency of the Treasury Bill Futures MarketReview of Economics and Statistics, 1984
- The relation between forward prices and futures pricesJournal of Financial Economics, 1981
- A continuous time equilibrium model of forward prices and futures prices in a multigood economyJournal of Financial Economics, 1981
- Forward contracts and futures contractsJournal of Financial Economics, 1981
- Measuring the Term Structure of Interest RatesThe Journal of Business, 1971