Baz J. and Pascutti M. Alternative Swap Contracts Analysis and Pricing // Journal of Derivatives, (Winter 1996). – P. 7-21.
Brown. K.C. and Smith D. J. Interest Rate and Currency Swaps: A Tutorial // Association for Investment Management and Research, 1996.
Cooper I. and Mello A. The Default Risk in Interest Rate Swaps // Journal of Finance, 46, 2 (1991). – P. 597-620.
Dattatreya R. E. and Hotta K. Advanced Interest Rate and Currency Swaps: State-of-the-Art Products, Strategies, and Risk Management Applications. – Irwin, 1993.
Flavell R. Swaps and Other Instruments. – Chichester: Wiley, 2002.
Gupta A. and Subrahmanyam M. G. An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps // Journal of Financial Economics, 55, 2 (200). – P. 239-279.
Litzenberger R. H. Swaps: Plain and Fanciful // Journal of Finance, 47, 3 (1992). – P. 831-850.
Minton B. A. An Empirical Examination of the Basic Valuation Models for Interest Rate Swaps // Journal of Financial Economics, 44, 2 (1997). – P. 251-277.
Sun Т., S. Sundaresan and Wang С. Interest Rate Swaps: An Empirical Investigation // Journal of Financial Economics, 34, 1 (1993). – P. 77-99.
Titman S. Interest Rate Swaps and Corporate Financing Choices // Journal of Finance, 47, 4 (1992). – P. 1503-1516.
|