Liquidity risk and the term structure of interest rates
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Publication:2018551
DOI10.1007/S11579-014-0134-0zbMATH Open1310.91140OpenAlexW3121380207MaRDI QIDQ2018551FDOQ2018551
Authors: Alexandre Roch, Robert A. Jarrow 
Publication date: 24 March 2015
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-014-0134-0
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Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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- A model of the convenience yields in on-the-run treasuries
Cited In (15)
- Liquidity risk and arbitrage pricing theory
- Sequential arbitrage measurements and interest rate envelopes
- Title not available (Why is that?)
- Title not available (Why is that?)
- State prices, liquidity, and default
- Systemic perspective of term risk in bank funding markets
- Liquidity Preference and Financial Intermediation
- Information of interest
- Tenor specific pricing
- Option prices under liquidity risk as weak solutions of semilinear diffusion equations
- Price impact on term structure
- Term structure of interest rates and implied market frictions: the min-Max approach
- The TIPS liquidity premium
- Incomplete markets, liquidation risk, and the term structure of interest rates
- A liquidity analysis of financial derivative products based on structural models
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