Fixed income - Information of interest - The flow of information in financial markets on future liquidity risk generates the rise and fall of demand for default-free bonds. Here, the authors present an approach to pricing these bonds and the associated derivatives, based on noisy information about the possible future liquidity crises, while deriving option pricing formulas and showing the impact ...
Year of publication: |
2009
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Authors: | Campbell, Alexander |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 12, p. 101-108
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