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Working Paper
Pricing interest rate swaps in an options pricing framework
Whittaker, J. Gregg (1987)
Research Working Paper , Paper 87-02

Journal Article
Interest rate swaps: a new tool for managing risk
Loeys, Jan (1985-05)
Business Review , Issue May/Jun , Pages 17-25

Working Paper
Debt maturity and the use of interest rate derivatives by non-financial firms
Fenn, George W.; Post, Mitchell A.; Sharpe, Steven A. (1996)
We develop and test a simple model of a firm's optimal debt maturity and its demand for interest rate swaps using 1994 data of over 4000 nonfinancial corporations. As in other models of derivative use, ours predicts a systematic relationship between a firm's swap position and the interest-sensitivity of its cash flow. We test this by estimating the cross-sectional relationship between a firm's swap position and: (1) the amount of short-term and floating-rate debt in its capital structure; and (2) the interest-sensitivity of its EBITD. We find strong evidence that firms use swaps to hedge ...
Finance and Economics Discussion Series , Paper 96-36

Conference Paper
Credit-lines for new instruments: swaps. over-the-counter options, forwards and floor-ceiling agreements
Arak, Marcelle V.; Goodman, Laurie; Rones, Arthur (1986)
Proceedings , Paper 121

Conference Paper
Interest rate swaps and corporate financing choices
Titman, Sheridan (1990-11)
Proceedings , Issue Nov

Journal Article
Swaps growing in importance as financial risk management tools
anonymous (1991-04)
Financial Update , Issue Spr , Pages 4-5, 11

Journal Article
Interest rate swaps: a review of the issues
Wall, Larry D.; Pringle, John J. (1988-11)
Economic Review , Issue Nov , Pages 22-40

Journal Article
The pricing and hedging of index amortizing rate swaps
Fernald, Julia D. (1993-01)
Index amortizing rate (IAR) swaps have proved difficult to price because of the complexity of their embedded options. Since these options depend on the path of interest rates, pricing requires a model of interest rate movements. This article uses a simple interest rate model to illustrate the pricing and hedging of an IAR swap.
Quarterly Review , Volume 18 , Issue Win , Pages 71-74

Working Paper
Interest rate swaps and economic exposure
Shrikhande, Milind M.; Goswami, Gautam (1997)
The interest rate swap market has grown rapidly. Since the inception of the swap market in 1981, the outstanding notional principal of interest rate swaps has reached a level of $12.81 trillion in 1995. Recent surveys indicate that interest rate swaps are the most commonly used interest rate derivative by nonfinancial firms and that nonfinancial firms are major users of interest rate swaps. In this paper, we provide an economic rationale for the use of interest rate swaps by such nonfinancial firms. In a global economy, given the floating exchange rate regime, nonfinancial firms face economic ...
FRB Atlanta Working Paper , Paper 97-6

Journal Article
Did you know? A primer on credit default swaps
anonymous (2008)
A credit default swap, an over-the-counter financial contract that allows for the transfer of credit risk from one party to another, is one way financial institutions mitigate and diversify credit risk.
Financial Update , Volume 21 , Issue 2

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