The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
By Francis A. Longstaff, Pedro Santa-clara, Eduardo S. Schwartz. 2000
204 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/8cdabc0abad20ea2b45f4eed34585370b54ab42a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Kenneth J. Singleton
- Qiang Dai
- Darrell Duffie
- Andrew Ang
- Glenn D. Rudebusch
- Monika Piazzesi
- Anh Le
- Michael W. Brandt
Citations in the corpus
- Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002, background): “14 In a dierent context, Longsta, Santa-Clara,and Schwartz[2000] nd that a four-factor model, and in”
- Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, unknown): “Interest rate caps consist of portfolios of individual European options on the Libor rate (for example, see Longstaff, Santa-Clara, and Schwartz (2001)).”
- The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2000, unknown): “…state variables, the model is consistent with the empirical evidence of Litterman and Scheinkman (1991), Knez, Litterman, and Scheinkman (1994), Longstaff, Santa-Clara, and Schwartz (2000) and many others who find evidence of at least three factors in term structure dynamics.8 In modeling the…”
- Term Structure Dynamics in Theory and Reality (2003, methodology): “Among the issues that must be addressed are: the components of the capital structure to be included in A and F ; measurement of asset volatility σA and the correlation ρ between A and r; and the choice of recovery ratios. The empirical implementations of structural models have varied widely in their”
- Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility (2002, unknown): “Longstaff, Santa-Clara, and Schwartz (2001a, 2001b) find that, when pricing American-style swaptions, several state variables are needed.”
- Forecasting with Option-Implied Information (2012, unknown): “Longstaff, Santa-Clara, and Schwartz (2001) and de Jong et al. (2004) provide evidence that forward rate correlations implied by cap and swaption prices differ from realized correlations.”